Checking date: 28/06/2021

Course: 2021/2022

Dynamic financial analysis II
Study: Master in Actuarial and Financial Sciences (224)

Coordinating teacher: BALBAS DE LA CORTE, ALEJANDRO

Department assigned to the subject: Department of Business Administration

Type: Compulsory
ECTS Credits: 6.0 ECTS


Requirements (Subjects that are assumed to be known)
An introduction to Financial Economics An introduction to Mathematical Analysis An introduction to Probability Theory
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 commodity derivatives.
Skills and learning outcomes
Description of contents: programme
FIRST PART: Futures and options. Buy and hold approaches. SECOND PART: Binomial model, Black and Scholes model, volatility smile, Greeks. THIRD PART: Interest rate models, interest rate derivatives. FOURTH PART: 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. Regarding the course 2020/2021, the teaching methodology will be double: online and onsite, conditional to the evolution of public health circumstances.
Assessment System
  • % end-of-term-examination 60
  • % of continuous assessment (assigments, laboratory, practicals...) 40
Calendar of Continuous assessment
Basic Bibliography
  • Hull, J.C.. Options, Futures and other Derivatives 8th. edition. Pearson Prentice-Hall International, Inc . 2012
Additional Bibliography
  • Hull, J.C. Fundamentals of Futures and Options Markets, 7th. edition. Pearson Prentice-Hall Internacional. 2010
  • Jorion, Ph.. Value at Risk. Wiley and Sons. 2005
  • Smithson, C., C. Smith, y D.S. Wilford. Managing Financial Risk. Irwin. 2005

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

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