TU-E2221 - Financial Risk Management with Derivatives 2 D, Lecture, 8.1.2025-10.4.2025

Please note! Course description is confirmed for two academic years, 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

This course complements the content of TU-E2211 Financial Risk Management with Derivatives 1. After the 3 cr. version of the course, the student understands how options and other derivatives are used in risk management and knows their practical limitations; is familiar with foreign exchange products and fixed income products, understands different interest rate models and volatility models; has a routine to solve simple problems in Ito calculus.

Additionally, after the 5 cr. version of the course, the student knows the most important value adjustments, how to compute them, and how to calibrate a yield curve.

Credits: 3 - 6

Schedule: 08.01.2025 - 10.04.2025

Teacher in charge (valid for whole curriculum period):

Teacher in charge (applies in this implementation): Ruth Kaila, Eljas Toepfer

Contact information for the course (applies in this implementation):

CEFR level (valid for whole curriculum period):

Language of instruction and studies (applies in this implementation):

Teaching language: English. Languages of study attainment: English

CONTENT, ASSESSMENT AND WORKLOAD

Content

  • valid for whole curriculum period:

    Financial risk management with options and other derivatives: Foreign exchange instruments, fixed-income products, volatility trading; stochastic interest rate models, modeling yield curves, stochastic volatilities; credit risk, XVA.

Assessment Methods and Criteria

  • valid for whole curriculum period:

    Lectures, exercises, assignment, exam.

Workload

  • valid for whole curriculum period:

    3 cr version: Lectures 12 h, exercises 12 h, preparation for the exercises and exam 57 h; 5 cr version: Lectures 12 h, exercises 12 h, assignment 54 h, preparation for the exercises and exam 57 h; 6 cr version: Lectures 12 h, exercises 12 h, assignment 54 h, written assignment 27 h, preparation for the exercises and exam 57 h.

DETAILS

Study Material

  • valid for whole curriculum period:

    given during the course

Substitutes for Courses
Prerequisites
SDG: Sustainable Development Goals

    4 Quality Education

    5 Gender Equality

    8 Decent Work and Economic Growth

    9 Industry, Innovation and Infrastructure

FURTHER INFORMATION

Further Information

  • valid for whole curriculum period:

    Teaching Language: English

    Teaching Period: 2024-2025 Spring III - IV
    2025-2026 Spring III - IV

Rules of Conduct - Students´ Rights and Responsibilities (in force from 1 August 2020)

Aalto University Code of Academic Integrity and Handling Violations Thereof