KTTS4140 Derivatives (5 cr)
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.
- 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
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.
- Hull, J. 2017. Options, Futures, and Other Derivatives, 10th edition.
Lectures (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.