AØKK08095U Pricing Financial Assets (F)

Volume 2015/2016
Education

Elective at MSc in Economics
The course is part of the Financial line symbolized by "F".

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.

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.

The course requires certain knowledge of basic microeconomics and elementary mathematics and statistics. The course also requires the BA-course in finance.
2 hours of lectures 1-2 times per week for 14 weeks.

Time and room:
For time and classroom please press the link under "Se skema"(See schedule) at the right side of this page (15E means Autumn 2015, 16F means Spring 2016).

You can find the similar information partly in English at
https:/​/​skema.ku.dk/​ku1516/​uk/​module.htm
-Select Department: “2200-Økonomisk Institut” (and wait for respond)
-Select Module:: “2200-F16;Pricing Financial Assets”
-Select Period: “Forår/Spring – Weeks 4-29”
-Press: “ View Timetable”
  • Category
  • Hours
  • Exam
  • 3
  • Lectures
  • 42
  • Preparation
  • 161
  • Total
  • 206
Credit
7,5 ECTS
Type of assessment
Written examination, 3 hours under invigilation
A 3 hours written assignment without any aids.
Aid
Without aids
Marking scale
7-point grading scale
Censorship form
External censorship
100 % censorship
Exam period

The written exam takes place June 13, 2016 at Peter Bangsvej 36, 2000 Frederiksberg http://pc-eksamen.ku.dk/pc_exam

The exact time of the exam will be informed in the Self-Service at KUnet mid-April.

For enrolled students more information about examination, exam/re-sit, rules etc. is available at the student intranet for Examination (English) and student intranet for Examination (KA-Danish).

Re-exam

The written re-exam takes place August 11, 2016 at Peter Bangsvej 36, 2000 Frederiksberg http://pc-eksamen.ku.dk/pc_exam

The exact time of the exam will be informed in the Self-Service at KUnet mid-July.

If only a few students have registered for the re-exam, the exam might change to an oral exam including the date for the exam, which will be informed  by the Examination Office.

Criteria for exam assesment

The student must in a satisfactory way demonstrate that he/she has mastered the learning outcome of the course.