Financial Derivatives

Risk management, term contracts, swaps, options, binomial pricing, Black Scholes model, Monte Carlo simulation, exotic options, credit risk.

Knowledge

The course provides students with knowledge over commonly used financial instruments and derivatives. In particular the course treats the use, the risk, the pricing and hedging of commonly used derivatives in financial and commodity markets.

Skills

After the course, the students will have a command of, in principle, the pricing and hedging of any derivative within the framework of the standard binomial pricing model. The students will also be familiar with the well-known Black Scholes model and know how to utilize Monte Carlo simulation towards pricing and hedging.

General competence

The course is introductory, however, the students will acquire basic general knowledge of derivatives. In particular, they will have insight into the use of such instruments in the reduction of various risks met in businesses.

Lectures and mandatory assignments.