Coordinating teacher: BALBAS DE LA CORTE, ALEJANDRO
Department assigned to the subject: Department of Business Administration
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.
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.
% end-of-term-examination 60
% of continuous assessment (assigments, laboratory, practicals...) 40