Financial Risk Analysis And Derivatives

Content

Objective

A perfect hedge is one that completely eliminates the risk. In practice, perfect hedges are rare. In risk analysis, the participants’ aim is to use futures markets to reduce a particular risk that they face. The course will develop better understanding of the basic theoretical results in financial derivatives, their proofs, and risk analysis.

Course Content

Introduction, Mechanics of futures markets
Determination of forward and futures prices
Hedging strategies using futures
Interest rate markets
Swaps
Properties of stock options
Trading strategies involving options
Binomial trees
The Black-Scholes model
The Greek letters
Real options, Insurance, weather, and energy derivatives

Course Learning Outcomes

1: Develop familiarity with basic results in financial risk analysis;
2: Develop a familiarity with mathematical tools used in financial derivatives;
3: Understand the assumptions and the limitations of results in derivatives, and the questions that result from those;
4: Understand the application topics of financial risk analysis and derivatives;
5: Develop the ability to read papers involving options, futures, forwards, real options and understand the technical parts of the papers.

References

John C. Hull, Options, Futures, and Other Derivatives, 8th Edition, Prentice Hall, 2012.

Weekly Contents

Assessment System

Relation of Proficiency

ECTS