30184 - RISK MANAGEMENT WITH DERIVATIVES
Course taught in English
Go to class group/s: 31
Students should attend first Applied Math and Statistic courses and should be familiar with basic concepts such as Integral calculus, Probability and Financial calculus required to understand plain economic and financial models.
Derivatives are not evil instruments...there's nothing evil about how they're traded, financed and accounted for, like any other financial instrument, if done properly! The course aims at providing an understanding of basic financial derivatives and their main implementation by corporations and financial institutions for hedging and trading purposes. The course provides also basic knowledge of pricing and valuation techniques for plain vanilla derivatives.
The course focuses on the following main derivatives instruments:
- Forwards: contract specifications; forward prices and valuation; hedging with forwards.
- Futures: contract specifications; hedging and trading with futures.
- Interest Rate Swaps: pricing and valuations of Interest rate swaps.
- Options: markets and contract specifications; overview of pricing techniques; hedging and trading with options; market risks and Greeks.
- Credit Default Swaps: contract specifications and basic pricing methods.
- Structured Products: introduction to hybrid products and basic concepts of structuring techniques.
- Describe basic financial derivatives (namely forwards, futures, IRS, plain vanilla options and CDS) and the theoretical framework.
- Illustrate potential arbitrage opportunities on futures and plain vanilla options.
- Recognize main risk profiles and key drivers of finanical derivatives.
- Formulate fair price indications for plain financial derivatives.
- Analyze basic heding and trading strategies with plain vanilla options.
- Face-to-face lectures
- Exercises (exercises, database, software etc.)
|Continuous assessment||Partial exams||General exam|
- J. HULL, Options, future and others derivates, Prentice Hall, 8th or 9th edition (a detailed list of relevant chapters/paragraphs is shown in the syllabus presented at the beginning of the course).
- Readings and slides prepared by the instructors and available on the course website (Students' Agenda).