AØKK08095U Pricing Financial Assets
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:
Time and room for the lectures and exercise classes: Please press the link under "Se skema" (See schedule). 15F means Spring (Forår) 2015, 14E means Autumn (Efterår) 2014.
The springsemester is available partly in English at this link:
https://skema.ku.dk/KU1415/reporting/textspreadsheet?objectclass=module&idtype=id&identifier=43794&t=SWSCUST+module+textspreadsheet&days=1-5&weeks=27-52&periods=1-68&template=SWSCUST+module+textspreadsheet
The first lecture in the springsemester will be the 3.th of February 2015 at 8.00 o´clock (AM). The 5.th of February is canceled and instead this lecture will be taugth the 10.th of February.
- Category
- Hours
- Exam
- 3
- Lectures
- 42
- Preparation
- 161
- Total
- 206
- 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 % censurship
- Exam period
- For the Spring semester 2015: From 26 May to 28 June 2015 Written exam will be the 23 of June 2015 The written exam takes place at Peter Bangsvej 36, 2000 Frederiksberg http://pc-eksamen.ku.dk/pc_exam More information is available at https://intranet.ku.dk/economics_ma/examination/Pages/default.aspx
- Re-exam
- Same as ordinary. But if only a few students have registered for the re-exam, the exam might change to an oral exam 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 (21-6a6770746b6d30716e676c63757c306e63747567704267657170306d7730666d)