Advanced Derivatives
Description
Prerequisites
Derivatives
Objectives
Knowledge of some newer derivative contract and strategies
Description / Program
Finite Differences
Simulation Methods
Exotic Options
Advanced numerical methods
The standard and the LIBOR Market Model
Credit risk and credit derivatives
Mishaps in derivative markets
Learning Method / Style of Lessons
Lectures 50% Exercise sessions 50%
Compliant with COVID-19 guidelines
Exam Style
Optional Midterm 50%, Final Exam 50-100%
Readings/Textbooks
John C. Hull : Options, Futures and Other Derivatives, Pearson, Eigth Edition
People
Course director
Assistant
Additional information
Semester
Fall
Academic year
2020-2021
ECTS
3
Language
English
Education
Master of Science in Economics in Finance, Elective course, Minor in Banking and Finance, 2nd year
Master of Science in Economics in Finance, Elective course, Minor in Quantitative Finance, 2nd year
Master of Science in Economics in Finance, Elective course, Minor in Digital Finance, 2nd year
Master of Science in Financial Technology and Computing, Elective course, Lecture, 2nd year
Master of Science in Economics in Finance, Elective course, Minor in Quantitative Finance, 2nd year
Master of Science in Economics in Finance, Elective course, Minor in Digital Finance, 2nd year
Master of Science in Financial Technology and Computing, Elective course, Lecture, 2nd year
