AU kursuskatalog arkiv

4388: Derivatives and Risk Management ( efterår 2011 - 10 ECTS )

Rammer for udbud

• Uddannelsessprog: engelsk
• Niveau: Elective IMSQE & Master's course (4088)
• Semester/kvarter: Autumn 2011  
• Timer per uge:   NUMBER OF HOURS PER WEEK: 4 hours of lectures per week for 11 weeks, supplemented by a limited amount of project work during the semester. This is equivalent to 48 hours of lectures.  
• Deltagerbegrænsning: Students who have previously passed the course Investments (4078) cannot be admitteed to this course.  
• Undervisningssted: Århus
• Hovedområde: Det Samfundsvidenskabelige Fakultet
• Udbud ID: 28692

Formål

LEARNING OBJECTIVES

The objective is that after having followed the course activities the student will be able to

• Explain and analyze the workings of financial markets.

• Explain option pricing and hedging using the binomial framework, the Black-Scholes framework and various extensions hereof and apply option pricing on known cases such as European stock options as well as on partly unknown cases.

• Price options using numerical procedures.

• Apply short rate models.

• Apply volatility analysis and value-at-risk.

Indhold

COURSE DESCRIPTION

The course introduces theories and methods for the pricing and hedging of financial derivatives. Emphasis is put on dynamic aspects of markets. The evolution of asset prices though time are analyzed both by discrete-time models and continuous-time models. These models are then applied in the derivation of pricing methods and hedging strategies for financial derivatives, which constitutes the core of the course. A large variety of derivatives will be considered including forwards, futures, swaps, and options. The course is relevant for managing assets and liabilities of private enterprises, banks, insurance companies, pension funds and other financial institutions.

COURSE SUBJECT AREAS: 

• Markets and instruments: forwards, futures, swaps, bonds, stocks, options
• Dynamic asset pricing models
• Derivatives pricing, replicating portfolios, risk-neutral valuation, Black-Scholes, Binomial lattice, Numerical methods
• Derivative strategies and hedging, put-call parity, the Greeks
• Historic and implied volatility
• Value-at-risk
• Interest rate models
• Credit risk

Faglige forudsætninger

REQUIRED COURSES (progression):

B.Sc. in Economics and Management

3376: BA/Financial Markets and Corporate Strategy

Underviser

LECTURER: Mia Hinnerich

Undervisnings- og arbejdsform

TEACHING METHOD:

Lectures and discussion of cases. 

TEACHING LANGUAGE: English

Litteratur

LITERATURE:

• John C. Hull, "Options Futures and Derivatives", Prentice Hall, 8th ed. 2011.
• Supplementary lecture notes on fixed income models.

In total approx. 700 pages

Bedømmelse

• Skriftlig, bedømt efter 7-skala med intern censur
5 xxxxx

FORM OF ASSESSMENT: 4 hour written exam

Examination requirements: Before taking the exam the student has to pass three out of five assignments. The assignments are only offered in the term the course is being taught. The assignments are to be solved individually or in a group of two students. The assignments are evaluated internally on a pass/fail basis. The purpose of the assignments is to prepare the student for the written exam and to test learning objectives in topics less suited for written examination. 

EXAMINATION AIDS ALLOWED: All - except for any means of electronic communication, including calculators, mobile phones and PCs. A simple calculator will be available for the students in the examination hall.