AØKK08095U Pricing Financial Assets
Volume 2013/2014
Education
MSc in Economics
Content
The course will cover
valuation of financial assets and derivatives with an emphasis on
arbitrage pricing and hedging. Elementary finance as in Corporate
Finance and Incentives, BSc, 3rd year must also be
covered
Learning Outcome
The students will
acquire an understanding of core areas of modern financial theory
and the ability to apply different models of this field to problems
of both theoretical and practical interest.
At the end of the course the student should also be familiar with main types of financial assets and derivatives, their risk characteristics and be able to discuss and apply relevant methods for pricing and hedging.
Students are also expected to obtain an understanding of the mathematical methods related to these models including selected proofs and numerical methods.
The excellent performance is characterized by a good knowledge of the theories, methods, models and proofs covered in the course together with the ability to apply these competencies to theoretical and practical problems more generally than the examples covered in the syllabus, utilizing both discrete time models and continuous time models.
At the end of the course the student should also be familiar with main types of financial assets and derivatives, their risk characteristics and be able to discuss and apply relevant methods for pricing and hedging.
Students are also expected to obtain an understanding of the mathematical methods related to these models including selected proofs and numerical methods.
The excellent performance is characterized by a good knowledge of the theories, methods, models and proofs covered in the course together with the ability to apply these competencies to theoretical and practical problems more generally than the examples covered in the syllabus, utilizing both discrete time models and continuous time models.
Literature
Syllabus
Textbook: John C. Hull: "Options, Futures and Other Derivatives," 8th edition 2012, Pearson Education, Prentice-Hall.
Notes: Frank Hansen: "Supplements in Finance Theory,” 2009, University of Copenhagen.
The binomial model; Hull Chapter 12.
The one-period model; Suppl. Section 1, pp. 2-5.
The multi-period model; Suppl. Section 2, pp. 7-14.
Wiener processes and Ito's lemma; Hull Chapter 13.
The Black-Scholes-Merton model; Hull Chapter 14.
Options on stock indices and currencies; Hull Chapter 16.
Futures options; Hull Chapter 17.
The Greek letters; Hull Chapter 18.
Credit risk; Hull Chapter 23.
Credit derivatives; Hull Chapter 24.
Martingales and measures; Hull Chapter 27.
Interest Rate Derivatives: The standard market models; Hull Chapter 28.
Interest Rate Derivatives: Models of the short rate; Hull Chapter 30.
Interest Rate Derivatives: HJM and LMM; Hull Chapter 31.
Textbook: John C. Hull: "Options, Futures and Other Derivatives," 8th edition 2012, Pearson Education, Prentice-Hall.
Notes: Frank Hansen: "Supplements in Finance Theory,” 2009, University of Copenhagen.
The binomial model; Hull Chapter 12.
The one-period model; Suppl. Section 1, pp. 2-5.
The multi-period model; Suppl. Section 2, pp. 7-14.
Wiener processes and Ito's lemma; Hull Chapter 13.
The Black-Scholes-Merton model; Hull Chapter 14.
Options on stock indices and currencies; Hull Chapter 16.
Futures options; Hull Chapter 17.
The Greek letters; Hull Chapter 18.
Credit risk; Hull Chapter 23.
Credit derivatives; Hull Chapter 24.
Martingales and measures; Hull Chapter 27.
Interest Rate Derivatives: The standard market models; Hull Chapter 28.
Interest Rate Derivatives: Models of the short rate; Hull Chapter 30.
Interest Rate Derivatives: HJM and LMM; Hull Chapter 31.
Academic qualifications
The course requires
certain knowledge of basic microeconomics and elementary
mathematics and statistics. The course also requires the BA-course
in finance.
Teaching and learning methods
3 hours of lectures per week
for 14 weeks.
Workload
- Category
- Hours
- Exam
- 3
- Lectures
- 42
- Preparation
- 161
- Total
- 206
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Exam (Written)
- Credit
- 7,5 ECTS
- Type of assessment
- Written examination, 3 hours under invigilationA 3 hours written assignment taking place at Peter Bangs Vej 36.
- Aid
- Without aids
- Marking scale
- 7-point grading scale
- Censorship form
- External censorship
100 % censurship
- Exam period
- Will be updated before the start of the semester
- Re-exam
- Same as ordinary. But if only a few students have registered for the re-exam, the exam might change to an oral exams with a synopsis to be handed in. This means that the examination date also will change.
Criteria for exam assesment
The Student must in a satisfactory way demonstrate that he/she
has mastered the learning outcome of the
course.
Course information
- Language
- English
- Course code
- AØKK08095U
- Credit
- 7,5 ECTS
- Level
- Full Degree Master
- Duration
- 1 semester
- Placement
- Spring
- Schedule
- Spring (week 6-21)
- Course capacity
- No limits
- Continuing and further education
- Price
- 320 DKK per ECTS
- Study board
- Department of Economics, Study Council
Contracting department
- Department of Economics
Course responsibles
- Henrik Olejasz Larsen (21-6e6b74786f713475726b7067798034726778796b74466b69757434717b346a71)
Saved on the
23-04-2013