Study: Master in Actuarial and Financial Sciences (224)
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)
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.
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.
% end-of-term-examination 60
% of continuous assessment (assigments, laboratory, practicals...) 40