KTTS4140 Derivatives (5 op)

Opinnon taso:
Syventävät opinnot
Arviointiasteikko:
0-5
Suorituskieli:
englanti
Vastuuorganisaatio:
Jyväskylän yliopiston kauppakorkeakoulu
Opetussuunnitelmakaudet:
2020-2021, 2021-2022, 2022-2023, 2023-2024

Kuvaus

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.

Osaamistavoitteet

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

Lisätietoja

Recommended timing for BIF students: 1st year.
Recommended timing for Finnish M.Sc. degree students: 3rd or 4th year.

Esitietojen kuvaus

KTTS4130 Asset Pricing and Investments
KTTS1110 Mathematical Economics II
In addition it is recommended that students know the basic econometric methods (for example KTTA1120 Econometrics I) and master theories of financial economics.

Oppimateriaalit

Lecture materials will be provided by the instructor.

Kirjallisuus

  • Hull, J. 2017. Options, Futures, and Other Derivatives, 10th edition.

Suoritustavat

Tapa 1

Kuvaus:
Lectures, home assignments, case study, and a written exam
Arviointiperusteet:
Grade = 0.2xHome assignments + 0.3xCase Study + 0.5xExam
Valitaan kaikki merkityt osat
Suoritustapojen osat
x

Lectures (5 op)

Tyyppi:
Osallistuminen opetukseen
Arviointiasteikko:
0-5
Arviointiperusteet:
Grade = 0.2xhome assignments + 0.3xcase study + 0.5xExam
Suorituskieli:
englanti
Työskentelytavat:

Lectures, home assignments, case study and a written exam

Oppimateriaalit:

Lecture material and textbook

Kirjallisuus:
  • John C. Hull (2017). Options, Futures, and Other Derivatives. 10th edition, London,Pearson.

Opetus