KTTS4140 Derivatives (5 op)
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
- 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.
Meta Skills: The Derivatives lecture course developes student's analytical skills to apply theory and numerical methods to analyze market behavior, and in some cases also evaluate theories in a critical way.
Lisätietoja
Recommended timing for BIF students: 1st year.
Recommended timing for Finnish M.Sc. degree students: 3rd or 4th year.
Lectured biannually in even years, spring semester 3rd period.
Esitietojen kuvaus
KTTA1220 Mathematical Economics /KTTS1220 Mathematical Economics
In addition it is recommended that students know the basic econometric methods (for example KTTA1120 Introduction to Econometrics) and master theories of financial economics.
Suositellut esitiedot
- Esitietoryhmä 1
- Esitietoryhmä 2
- KTTS4130 Investments and Asset Pricing (5 op)
- KTTS1220 Matemaattinen taloustiede (8 op)Ei julkaistu tälle opetussuunnitelmakaudelle
- KTTA1120 Ekonometrian johdantokurssi (8 op)
Oppimateriaalit
Kirjallisuus
- Hull, J. 2017. Options, Futures, and Other Derivatives. 11th edition.
Suoritustavat
Tapa 1
Home assignments, case study and an Exam (5 op)
Lectures, home assignments, case study and a written exam
Lecture material and textbook
- John C. Hull (2017). Options, Futures, and Other Derivatives. 10th edition, London,Pearson.