Please note! Course description is confirmed for two academic years (1.8.2018-31.7.2020), which means that in general, e.g. Learning outcomes, assessment methods and key content stays unchanged. However, via course syllabus, it is possible to specify or change the course execution in each realization of the course, such as how the contact sessions are organized, assessment methods weighted or materials used.

LEARNING OUTCOMES

By the end of the course students will be able to show detailed understanding of the derivatives markets, the instruments and the principles of risk management. The course reflects both theory and practice and it covers diverse areas such as equity, index, foreign currency, commodity and fixed income derivatives.

Credits: 6

Schedule: 26.02.2020 - 09.04.2020

Teacher in charge (valid 01.08.2020-31.07.2022): Sean Shin, Matti Suominen

Teacher in charge (applies in this implementation): Sean Shin, Theresa Spickers

Contact information for the course (valid 23.01.2020-21.12.2112):

Feel free to ask any questions via email.

CEFR level (applies in this implementation):

Language of instruction and studies (valid 01.08.2020-31.07.2022):

Teaching language: English

Languages of study attainment: English

CONTENT, ASSESSMENT AND WORKLOAD

Content
  • Valid 01.08.2020-31.07.2022:

    Main topics are arbitrage, binomial models, Black & Scholes model, extensions to Black & Scholes model, interest rate derivatives, exotic options, and issues in risk management.

  • Applies in this implementation:

     

    The following contents are tentative and subject to change as needed:

    #1. Course Orientation and Introduction to Fixed Income Markets 

    #2. Bond Pricing: Basic concepts

    #3. Bond Pricing: Duration and convexity

    #4.Yield Curve and Term Structure

    #5. Fixed Income Investment Strategies 

    #6. General Introduction to Derivatives, Introduction to Futures and Futures Pricing

    #7. Options and Option Strategies

    #8. Options and Option Strategies – continued

    #9. Option Pricing – Binomial Trees 

    #10. Option Pricing – Black-Scholes and Greeks

    #11. Backup/Q&A

     

     

Assessment Methods and Criteria
  • Valid 01.08.2020-31.07.2022:

    1. Lectures
    2. Exercises and cases (50%)
    3. Written examination (50%). The examination will be based on the lectures, handouts and the course literature.

  • Applies in this implementation:

    -

Workload
  • Valid 01.08.2020-31.07.2022:

    Classroom hours 24 h
    Exercise hours 12 h
    Class preparation 34 h
    Exercise preparation 50 h
    Exam preparation 36 h
    Exam 3 h

  • Applies in this implementation:

    -

DETAILS

Study Material
  • Valid 01.08.2020-31.07.2022:

    Recommended text for fixed income part: Handbook of Fixed Income Securities by Pietro Veronesi
    Recommended text for the derivatives part: Options, Futures, and Other Derivatives by John C. Hull

    Other material distributed by the lecturer.

  • Applies in this implementation:

     

    The main reference for this course will be the class slides, which will be posted on MyCourses. 

    The readings and other materials will also be provided through MyCourses. 

    The exam will cover all materials and papers that appeared in the lecture notes.

     

     

Substitutes for Courses
  • Valid 01.08.2020-31.07.2022:

    Substitutes a course 28C00400 Derivatives and Risk Management. It is possible to include only one of these courses into the degree.

Prerequisites
  • Valid 01.08.2020-31.07.2022:

    Rahoituksen perusteet or Principles of Corporate Financial Management

Registration for Courses
  • Valid 01.08.2020-31.07.2022:

    Course and exam registration via WebOodi. See the registration time in WebOodi.

    For any registration related matter, please contact the department's planning officer.

  • Applies in this implementation:

    -

SDG: Sustainable Development Goals

    1 No Poverty

    8 Decent Work and Economic Growth

FURTHER INFORMATION

Details on the schedule
  • Applies in this implementation:

    This will be announced during the first class.

Description

Registration and further information