Master in Actuarial and Financial Science (Plan: 168 - Estudio: 224)
EPE
Coordinating teacher: BALBAS DE LA CORTE, ALEJANDRO
Department assigned to the subject: Business Administration Department
Type: Compulsory
ECTS Credits: 6.0 ECTS
Course: 1º
Semester: 2º
Requirements (Subjects that are assumed to be known)
An introduction to Financial Economics
An introduction to Mathematical Analysis
An introduction to Probability Theory
Objectives
The course will provide the students with knowledge about advanced topics in derivative markets, with special focus on dynamic pricing models.
At the end of this course the student must be able to:
- Price and hedge equity derivatives in a dynamic framework.
- Distinguish between complete and incomplete dynamic models
- Deal with dynamic interest rate models.
- Price and hedge interest rate and currency derivatives.
- Price and hedge commodity derivatives.
FIRST PART: Futures and options. Buy and hold approaches.
SECOND PART: Binomial model, Black and Scholes model, volatility smile, Greeks.
THIRD PART: Interest rate models, interest rate derivatives.
FOURTH PART: Commodities.
Learning activities and methodology
Methodology will include:
(1) Lectures, in order to present the main ideas of every topic.
(2) The use of the computer.
(3) Numerical exercises.
(4) More complicated practical situations that will be analyzed by teams of three/four students.
In this course students can use Artificial Intelligence tools without any kind of restriction.
Assessment System
% end-of-term-examination/test 60
% of continuous assessment (assigments, laboratory, practicals...) 40
