Derivatives
People
Course director
Assistant
Description
Prerequisites
Capital markets
Description / Program
The program of the course comprises an introduction to derivatives and three main building blocks: 1) Mechanics of futures markets; hedging strategies using futures; pricing of forwards and futures on stocks, stock indices, currencies, commodities. 2) Mechanics of options markets; properties of stock options; trading strategies involving options; option pricing with binomial trees; option pricing with the Black-Scholes-Merton model; options on stock indices and currencies; the Greeks and hedging of options; 3) Interest rates; bond pricing; forwards and futures on interest rates; interest rate swaps; currency swaps; valuation of swaps.
Readings/Textbooks
J. Hull, Options, futures, and other derivatives, Pearson-Prentice Hall, 2018, tenth edition
Objectives
The course aims at providing the basics for the pricing of financial derivatives and their use for hedging strategies
Teaching mode
In presence
Learning methods
Lectures and exercise sessions
Examination information
Final Exam 100%. Grading is based on an in-class exam
Education
- Master of Science in Economics in Finance, Lecture, 1st year
- Master of Science in Financial Technology and Computing, Lecture, SFI accreditation (min 45 ECTS), Elective, 1st year
