KTTS366 Derivatives (0 op)
Opinnon taso:
Syventävät opinnot
Arviointiasteikko:
0-5
Suorituskieli:
suomi
Vastuuorganisaatio:
Jyväskylän yliopiston kauppakorkeakoulu
Opetussuunnitelmakaudet:
2017-2018, 2018-2019, 2019-2020
Kuvaus
Content
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.
Completion methods
Lectures, demos, exam.
Spring, 3rd period
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
- 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
Esitietojen kuvaus
KTTA335 Asset Pricing and Investments, KTTS220 Mathematical Economics II. In addition it is recommended that students know the basic econometric methods (for example KTTA250 Econometrics I, and/or KTTA287 Applied Time Series Analysis for Finance and Macroeconomics) and master theories of financial economics (for example KTTS330 Advanced Financial Economics).
Kirjallisuus
- Hull, J. 2012. Options, Futures, and Other Derivatives 8th or 9th edition.
Suoritustavat
Tapa 1
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