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Fin­an­cial de­riv­at­ives and their ap­plic­a­tions

About the course

Subjects
Finance

Course content

This course deals with both theory and application of derivatives markets and their uses in portfolio allocation and risk management.The students will learn the fundamental concepts of derivatives pricing and hedging and apply them to a variety of financial instruments.The following areas are covered in the course: 

  • The pricing of futures, forwards and swaps and the use of these instruments for hedging.
  • Basic properties of option contracts, payoff diagrams, trading strategies, and the put-call parity.
  • Applications of options in corporate hedging and compensation packages
  • The (multi period) binominal models.
  • The Black-Scholes model. Replicating portfolios and risk-adjusted valuation. Greeks and hedging. 
  • Dividends. Currency options. American options.
  • Volatility estimates, implied and historical volatility.
See course description in course catalogue

What you will learn

The course will provide students with an understanding of how financial derivative markets function and a basic toolbox for pricing and hedging derivatives. The toolbox will combine finance theory with examples and practical exercises. By the end of the course, the students should have a broad understanding of the derivative contracts discussed in the course. This means that they should be able to:

  • Analyze the payoff structure of various derivative contracts (futures, forwards, options) for different underlying securities (e.g., stocks financial indices, foreign exchange, commodities)
  • Price different types of derivatives contracts using appropriate methods
  • Construct and evaluate derivatives strategies for risk management purposes
  • Replicate non-standard payoff profiles by taking active positions in financial markets
  • Identify the associated risks involved with active positions in financial markets

Course prerequisites

Please note that the elective course is reserved for HA students, who wish to write their bachelor project in this elective course.

Facts

Level
Bachelor
Type
Elective
ECTS
7.5
Code
BHAAV4491U
Teaching periods
Spring – 3rd quarter
Academic year
2025/2026
Status
Fully booked – waiting list open for exchange students
Teaching language
English
Teaching Format
On campus
Exams
  • Written exam on campus
    Individual exam, spring
Assessment type
  • 7 point grading scale

Academic areas for master admission:

The course covers:

  • Finance (max 7.5 ECTS)
  • Business administration (max 7.5 ECTS)