KTTS4140 Derivatives (5 cr)
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
Contact teaching course, spring semester, 3rd period. The study methods of the contact teaching course are specified in the study program annually.
Assessment details
Accepted completion of the designated assignments. The assessment criteria of the course is specified in the study program annually.
Learning outcomes
- 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
Additional information
Recommended timing for BIF students: 1st year.
Recommended timing for Finnish M.Sc. degree students: 3rd or 4th year.
Description of prerequisites
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.
Study materials
Literature
- Hull, J. 2012. Options, Futures, and Other Derivatives, 8th edition.; ISBN: 978-0132777421
Completion methods
Method 1
Teaching (5 cr)
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.