MFIN 862 Derivatives & Risk Management Select Term:
This course serves as a comprehensive introduction to derivative securities and financial risk management. Naturally, forward contracts, futures, options, and swaps are the focal point of the course. While the main emphasis is on the use of derivatives as risk-transferring/minimizing devices, valuations of such contracts are also included. A solid coverage of no arbitrage based pricing is provided as the common underlying premise to valuing derivative securities. Therewith, cost-of-carry valuation of forwards and futures, , binomial pricing of options, the Black- Scholes option pricing formula, and swap pricing are introduced. Also, the emphasis is on how derivative securities are used against common risk factors such as interest rates, exchange rates and credit risk. In addition to hedging strategies to be created by any of the derivative securities, various other trading strategies involving options (spreads and combinations) are presented. Topics such as delta- hedging and portfolio insurance are also covered.
SU Credits : 3.000
ECTS Credit : 10.000
Prerequisite : -
Corequisite : -