Course - Financial Derivatives - IF400
Financial Derivatives
Assessments and mandatory activities may be changed until September 20th.
About
About the course
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 hedging 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 mandatory assignments.
Compulsory assignments
- Obligatoriske innleveringer
Further on evaluation
During the semester, there are three assignments that must be approved for admission to the exam.
Other calculators that are allowed in the course are: Casio FC-100V and Texas Instruments - BAII Plus.
In case of a re-sit exam or the final exam when the course is no longer being taught, the exam may be changed to an oral exam
The course is only available to students admitted to a study programme under "special conditions".
Specific conditions
Admission to a programme of study is required:
Economics (MSØK)
Economics (MSØK/5)
Economics and Business Administration (MSIVØK5)
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 |
|---|---|---|
| BA400 | 7.5 sp | Spring 2008 |
| BA400 | 7.5 sp | Spring 2008 |
| TIØ4140 | 6 sp | Autumn 2017 |
Subject areas
- Economics and Administration