Checking date: 04/07/2020


Course: 2020/2021

Financial Derivatives
(13766)
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:
Semester:




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. - Deal with commodity derivatives. - Analyze global portfolios containing derivatives. Finally: - Collaboration with other students will be stimulated, so as to deal with complex practical problems. - Discussions and critic analyses will be provoked. - Empirical tests will be encouraged.
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
  • % end-of-term-examination 60
  • % of continuous assessment (assigments, laboratory, practicals...) 40
Basic Bibliography
  • Hull. Options, futures and other derivatives. Pearson.

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


More information: https://business.uc3m.es/es/faculty/profesor/perfil/alejandro-balbas