KTTS366 Derivatives (0 cr)

Study level:
Advanced studies
Grading scale:
0-5
Language:
Finnish
Responsible organisation:
Jyväskylä University School of Business and Economics
Curriculum periods:
2017-2018, 2018-2019, 2019-2020

Description

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

Learning outcomes

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

Description of prerequisites

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).

Literature

  • Hull, J. 2012. Options, Futures, and Other Derivatives 8th or 9th edition.

Completion methods

Method 1

Select all marked parts
Parts of the completion methods
x

Teaching (0 cr)

Type:
Participation in teaching
Grading scale:
0-5
Language:
Finnish
No published teaching