KTTS4140 Derivatives (5 cr)
Study level:
Advanced studies
Grading scale:
0-5
Language:
English
Responsible organisation:
Jyväskylä University School of Business and Economics
Curriculum periods:
2024-2025, 2025-2026, 2026-2027, 2027-2028
Description
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.
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
- 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
KTTS4130 Asset Pricing and Investments
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.
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.
Recommended prerequisites
- Prerequisite group 1
- Prerequisite group 2
- KTTS4130 Investments and Asset Pricing (5 cr)
- KTTS1220 Mathematical Economics (8 cr)Not published for this curriculum period
- KTTA1120 Introduction to Econometrics (8 cr)
OR
Study materials
Lecture materials will be provided by the instructor.
Literature
- Hull, J. 2017. Options, Futures, and Other Derivatives. 11th edition.
Completion methods
Method 1
Description:
Lectures, home assignments, case study, and a written exam
Evaluation criteria:
Grade = 0.2xHome assignments + 0.3xCase Study + 0.5xExam
Time of teaching:
Period 3
Select all marked parts
Parts of the completion methods
x
Participation in teaching (5 cr)
Type:
Participation in teaching
Grading scale:
0-5
Evaluation criteria:
Grade = 0.2xhome assignments + 0.3xcase study + 0.5xExam
Language:
English
Study methods:
Lectures, home assignments, case study and a written exam
Study materials:
Lecture material and textbook
Literature:
- John C. Hull (2017). Options, Futures, and Other Derivatives. 10th edition, London,Pearson.