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 KALKULATOR

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.
For the exam, the students are allowed to use a calculator type 2 according to the rules and regulation of calculators at NTNU Business School.

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)
Entrepreneurship (MENTRE)
Entrepreneurship (MSENTRE)
Financial Economics (MFINØK)
Industrial Economics and Technology Management (MTIØT)
International Business and Marketing (860MIB)
Management of Technology (ØAMLT)
Programme for Master of Science in Financial Economics, ISØ (ØANTNUM)

Required previous knowledge

Course admission is restricted to students holding a student status for the following programs: MSc in Economics and Business Administration, NTNU Business School, MSc in Financial Economics and Msc in Economics, Department of Economics, Msc in Entrepreneurship and Msc in Industrial Economics and Technology Management, Department of Industrial Economics and Technology Management, and Msc in International Business and Marketing, Department of International Business (Ålesund). None beyond the requirement of program admission

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 2008-08-01
BA400 7.5 2008-08-01
TIØ4140 6.0 2017-09-01

Timetable

Detailed timetable

Examination

Examination arrangement: Written examination

Term Statuskode Evaluation form Weighting Examination aids Date Time Room *
Autumn ORD Written examination 100/100 KALKULATOR 09:00
  • * 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.