AØKK08095U Pricing Financial Assets (F)
Elective at MSc in Economics
The course is part of the Financial line symbolized by
"F".
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
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.
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
for enrolled students. More information about registration, schedule, rules, courses etc. can be found at the student intranet (KUnet) for courses (English) and student intranet (KUnet) for courses (Danish).
Registration and information for prospective foreign speaking students, exchange students, Open University etc. please find more information at Study Economics.
For dansktalende enkelfagsstuderende kan tilmelding ske via siderne Åbent Universitet og Merit.
- Credit
- 7,5 ECTS
- Type of assessment
- Written examination, 3 hours under invigilationA 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.
Course information
- Language
- English
- Course code
- AØKK08095U
- Credit
- 7,5 ECTS
- Level
- Full Degree Master
- Duration
- 1 semester
- Placement
- Spring
- Schedule
- Spring semester is week 6-35
Period of
-teaching: Week 6-21
-exam: Week 21-26
-re-sit: Week 31-36 - 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 (21-6a6770746b6d30716e676c63757c306e63747567704267657170306d7730666d)