Checking date: 22/04/2024

Course: 2024/2025

Advanced Financial Derivatives
Bachelor in Finance and Accounting (Study Plan 2018) (Plan: 399 - Estudio: 201)

Coordinating teacher: BALBAS DE LA CORTE, ALEJANDRO

Department assigned to the subject: Business Administration Department

Type: Electives
ECTS Credits: 6.0 ECTS


Requirements (Subjects that are assumed to be known)
Introductory course about Financial Derivatives
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.
Skills and learning outcomes
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. (5) In this course students can use Artificial Intelligence tools without any kind of restriction. However, it is reminded that no access to any type of computer will be available during the exams.
Assessment System
  • % end-of-term-examination 60
  • % of continuous assessment (assigments, laboratory, practicals...) 40
Calendar of Continuous assessment
Extraordinary call: regulations
Basic Bibliography
  • Hull, J.. Options, Futures and other Derivatives. Pearson. 2008

The course syllabus may change due academic events or other reasons.

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