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Course: 2018/2019

Advanced Financial Derivatives

(14450)

Study: Bachelor in Finance and Accounting (201)

Coordinating teacher: BALBAS DE LA CORTE, ALEJANDRO

Department assigned to the subject: Department of Business Administration

Type: Electives

ECTS Credits: 6.0 ECTS

Course: 4º

Semester:

Students are expected to have completed

Introductory course about Financial Derivatives

Competences and skills that will be acquired and learning results. Further information on this link

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 credit derivatives.

Description of contents: programme

FIRST PART: Binomial model, Black and Scholes model, volatility smile, Greeks. 
SECOND PART: Interest rate models, interest rate derivatives.
THIRD PART: Credit risk models, 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.

Assessment System

- The weight of the participation in the room will be 5%.
- The weight of several sets of exercises, to be solved at home, will be 15%.
- Two papers developed by teams of three/four students will have the weight 20%.
- The weight of the final exam will be 60%.

% end-of-term-examination 60
% of continuous assessment (assigments, laboratory, practicals...) 40

Basic Bibliography

Hull, J.. Options, Futures and other Derivatives. Pearson. 2008

The course syllabus and the academic weekly planning may change due academic events or other reasons.