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MSc in Economics and Business Administration in Finance and Investments

De­riv­at­ives and Fixed In­come

About the course

Subjects
Finance

Course content

The course deals with the properties, the applications, and the pricing of derivative securities. More specifically, the topics include

  • general properties, applications, and pricing results for forwards and futures
  • option strategies
  • review and refinements of binomial models
  • introduction to continuous-time option pricing: Brownian Motion, Itô's Lemma, Black-Scholes PDE
  • the Black-Scholes option pricing model
  • extensions of the Black-Scholes model such as the Heston model 
  • the Black 76 model for options on forwards/futures
  • hedging strategies and the "Greeks"
  • volatility smiles
  • tree-based interest rate models
  • continuous-time interest rate models
  • pricing of interest rate derivatives (such as bonds, swaps, futures, options on bonds, caps, floors, swaptions)
  • Monte Carlo simulation

Excel is used wherever relevant.

See full course description

What you will learn

  • understand and explain the payoff and risk properties of the main types of derivative securities
  • understand and explain how derivative securities can be used for risk management
  • understand, explain, and apply the central methods and models for the pricing of derivative securities

Facts

Level
Master
Type
Mandatory course
ECTS
7.5
Code
CFIAO1007U
Teaching periods
Spring – semester
Academic year
2024/2025
Status
Available places
Teaching language
English
Teaching Format
Hybrid
Exams
  • Written exam on campus
    Individual exam, spring
Assessment type
  • 7 point grading scale