KTTS366 Derivatives (0 cr)
Learning outcomes
On successful completion of the course, students will be able to:
- recognize, report, and apply theories of derivatives pricing
- evaluate return and risk potential of sophisticated derivative instruments and structures, and calculate their market values
- analyze and plan risk management solutions and make decisions regarding risk management
Study methods
Lectures, demos, exam.
Spring, 3rd period
Content
The lecture course gives a comprehensive treatment of derivatives and risk management. Key points of the lecture course are derivatives pricing, the Black-Scholes-Merton model, risk neutral pricing, tree models, numerical methods, Value-at-Risk, Expected Shortfall, market and credit risks and instruments applied to hedge these risks, portfolio optimization with nonlinear risk measures.
Literature:
| ISBN-number | Author, year of publication, title, publisher |
|---|---|
| Hull, J. 2012. Options, Futures, and Other Derivatives 8th or 9th edition. |
Prerequisites
KTTA335 Asset Pricing and Investments, KTTS220 Mathematical Economics II. In addition it is recommended that students know the basic econometric methods (for example KTTA250 Econometrics I, and/or KTTA287 Applied Time Series Analysis for Finance and Macroeconomics) and master theories of financial economics (for example KTTS330 Advanced Financial Economics).