The objective of this course module is to provide those who participate in the global financial markets with the basic tools and language of the markets for managing interest rate and currency risk. The module delves into the theory and workings of the international money and capital markets, with a heavy emphasis on the foreign exchange and Euromarkets and the derivative swap and option markets. The module aims to enable participants to evaluate and structure hybrid financial instruments for borrowing and investing purposes.
The basis is certain fundamental theoretical principles of finance and
international money, such as bond valuation, fixed versus floating excahnge
rates and interest rate parity. Yet the learning method is thoroughly applied,
with numerous situational problems and brief puzzles for participants to
work on.
Ian Giddy, Global Financial Markets, selected chapters.
Excerpts from Dufey and Giddy, The International Money Market,
2nd ed., and from Walmsley, The New Financial Instruments.
Additional recommended books:
1. Julian Walmsley, The New Financial Instruments (New York:
Wiley, 1988)
2. Julian Walmsley, Global Investing (London: Macmillan, 1991)
3. Clifford Smith, Charles Smithson and Sykes Wilford, Managing
Financial Risk (Ballinger, 1990)
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Mon | a.m. | 1 | Foreign Exchange & Eurocurrency Markets GFM Ch 2 | Aunt Helen; GFM Ch.2 Problem 4; Tea in England | ||
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p.m. | 2 | Foreign Exchange Instruments
GFM Ch 7 |
GFM Ch.7 Problems 1,2,3; Banca Commerciale Italiana | ||
Tues | a.m. | 3 | Interest Rate Forwards, FRAs and Swaps IMM Ch 3 | GFM Ch.13 Questions 7,8; Kleinwort's Bulldog Hedge | ||
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p.m. | 4 | Currency Swaps GFM Ch 13 | Kiwi Magic | ||
Wed |
a.m. | 5 | Swap Valuation, Reversal and Trading
GFM Ch 13 |
The Aussie Unswap; GFM Ch.13 Problem 18 | ||
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p.m. |
6 | Using Swaps in the Management of Assets and
Liabilities
Swaps and Synthetic Securities, Including Synthetic FRNs Walmsley, Ch 13 |
GFM Ch.13 Problem 21;
Mr Kang Visits Carolina |
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Thurs |
a.m. | 7 | Currency Options: Pricing and Hedging
GFM Ch 8 |
GFM Ch 8 Problems 3,6 | ||
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p.m. | 8 | Currency Options: Uses and Abuses
A Roadmap for the Use of Forwards, Futures, Options and Swaps Walmsley, Ch 13 |
ICI Proposes; GFM Ch.8 Problems 11,12 | ||
Fri | a.m. | 9 | Evaluating and Structuring Hybrid Financial Instruments GFM Ch 17 | Den Danske; BIG | ||
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p.m. | 10 | Innovations in the International Capital Markets
GFM Ch 16
Review and Recap |
Digging Under Tombstones | ||
Sat | Course Examination | |||||
Examination Postmortem |
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