course-details-portlet

IF400 - Financial Derivatives

About

Examination arrangement

Examination arrangement: Written examination
Grade: Letters

Evaluation form Weighting Duration Examination aids Grade deviation
Written examination 100/100 4 hours D

Course content

Risk management, term contracts, swaps, options, binomial pricing, Black Scholes model, Monte Carlo simulation, exotic options, credit risk.

Learning outcome

Knowledge
The course provides students with knowledge over commonly used financial instruments and derivatives. In particular the course treats the use, the risk, the pricing and hedging of commonly used derivatives in financial and commodity markets.

Skills
After the course, the students will have a command of, in principle, the pricing and hedgning of any derivative within the framework of the standard binomial pricing model. The students will also be familiar with the well-known Black Scholes model and know how to utilize Monte Carlo simulation towards pricing and hedging.

General competence
The course is introductory, however, the students will acquire basic general knowledge of derivatives. In particular, they will have insight into the use of such instruments in the reduction of various risks met in businesses.

Learning methods and activities

Lectures and assignments.

Compulsory assignments

  • Obligatoriske innleveringer

Further on evaluation

During the semester, there are three assignments that must be approved for admission to the exam.
Supporting material allowed on exams: Approved calculator regarding NTNUs support material code B-D "specific basic calculator". Other calculators that are allowed in the course are: Casio FC-100V and Texas Instruments - BAII Plus.

Admission to study programme is required, see "special conditions".

Specific conditions

Exam registration requires that class registration is approved in the same semester. Compulsory activities from previous semester may be approved by the department.

Admission to a programme of study is required:
Economics (MSØK)
Economics (MSØK/5)
Economics and Business Administration (ØAMSC)
Financial Economics (MFINØK)
Industrial Economics and Technology Management (MTIØT)
Management of Technology (ØAMLT)

Required previous knowledge

None

Course materials

Robert L. McDonald: Derivatives Markets (latest edition).

Changes may be announced. Course material decided finally as semester commences.

Credit reductions

Course code Reduction From To
BA400 7.5 01.08.2008
BA400 7.5 01.08.2008
TIØ4140 6.0 01.09.2017
More on the course

No

Facts

Version: A
Credits:  7.5 SP
Study level: Second degree level

Coursework

Term no.: 1
Teaching semester:  AUTUMN 2020

Language of instruction: Norwegian

Location: Trondheim

Subject area(s)
  • Economics and Administration
Contact information
Course coordinator: Lecturer(s):

Department with academic responsibility
NTNU Business School

Phone:

Examination

Examination arrangement: Written examination

Term Status code Evaluation form Weighting Examination aids Date Time Digital exam Room *
Autumn ORD Written examination 100/100 D 09:00 INSPERA
Room Building Number of candidates
  • * The location (room) for a written examination is published 3 days before examination date. If more than one room is listed, you will find your room at Studentweb.
Examination

For more information regarding registration for examination and examination procedures, see "Innsida - Exams"

More on examinations at NTNU