Bachelor in Finance and Accounting (Plan: 520 - Estudio: 201)
Coordinating teacher: BALBAS DE LA CORTE, ALEJANDRO
Department assigned to the subject: Business Administration Department
Type: Electives
ECTS Credits: 6.0 ECTS
Course: 4º
Semester:
Requirements (Subjects that are assumed to be known)
Introductory course about Financial Derivatives
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 static and dynamic frameworks.
- Distinguish between complete and incomplete dynamic models
- Deal with dynamic interest rate models.
- Price and hedge interest rate and currency derivatives.
- Price and use credit derivatives.
Description of contents: programme
FIRST PART: Revisiting buy and hold approaches and the binomial model
SECOND PART: Black-Scholes-Merton model
THIRD PART: Interest rate models and interest rate derivatives.
FOURTH PART: Credit risk derivatives
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/test 60
% of continuous assessment (assigments, laboratory, practicals...) 40
