This learning unit is not open to incoming exchange students!
Teacher(s)
Language
English
Learning outcomes
At the end of this learning unit, the student is able to : | |
| The objective of the course is to allow students to obtain solid knowledge about different (plain vanilla) financial derivatives. They will learn to identify and define fundamental concepts in financial derivatives. Students will learn to understand the functions of the financial derivatives and will apply the financial theory during financial exercises. After having taken this course, students will be able to price forwards, futures, swaps and (plain vanilla) options. | |
Content
* Introducing Derivatives and Trading Strategies involving Options
* Futures Market and Hedging with Futures
* Determining Forwards and Futures Prices
* Swaps: Pricing Interest Rate and Currency Swaps
* Option Markets and Properties of Stock Options
* Option Pricing using Binomial Trees
* Black-Scholes-Merton Model
* The Greeks
* Futures Market and Hedging with Futures
* Determining Forwards and Futures Prices
* Swaps: Pricing Interest Rate and Currency Swaps
* Option Markets and Properties of Stock Options
* Option Pricing using Binomial Trees
* Black-Scholes-Merton Model
* The Greeks
Teaching methods
Lectures in which theoretical concepts will be explained, are illustrated with examples and exercises. Financial examples applying theoretical concepts will be demonstrated, together with financial applications in MS Excel.
The course is taught in a hybrid mode: part of the course will be taught on campus, part of the material will be discussed in online videos. Students will also have the opportunity to aks questions during online Q&R meetings.
The course is taught in a hybrid mode: part of the course will be taught on campus, part of the material will be discussed in online videos. Students will also have the opportunity to aks questions during online Q&R meetings.
Evaluation methods
Written exam:
during an on-campus closed book exam, students will have to identify, define and explain theoretical concepts.
They will also need to solve problems pricing financial derivatives during an open book exam.
during an on-campus closed book exam, students will have to identify, define and explain theoretical concepts.
They will also need to solve problems pricing financial derivatives during an open book exam.
Online resources
On the university’s electronic platform the following additional information will be offered:
- a copy of the slides used
- online videos
- the exercises that will be solved. Additional exercises will be added (partially with solutions)
- a copy of the slides used
- online videos
- the exercises that will be solved. Additional exercises will be added (partially with solutions)
Bibliography
Ouvrages de références : John C. Hull, “Options, Futures and Other Derivatives, 11th Edition”, Pearson/Prentice Hall, New Jersey.
Faculty or entity
Programmes / formations proposant cette unité d'enseignement (UE)
Title of the programme
Sigle
Credits
Prerequisites
Learning outcomes
Advanced Master in Financial Risk Management (shift schedule)
