TU-E2211 - Financial Risk Management with Derivatives 1 D, Lecture, 4.9.2024-11.12.2024

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

After the 3 cr. version of the course, the student

  • understands the purpose, basic properties, and use of derivatives for financial risk managment,
  • knows the mathematical theory of options and other derivatives, 
  • is familiar with how models are implemented, how they are used in practice, and what the strengths and weaknesses of different models are.
  • knows how to use tools from engineering mathematics and physics in financial risk management and finance, and what are their limitations.

Additionally, after the 5 cr. version of the course, the student knows how to apply engineering mathematics and computational methods to the analysis of financal market data.

Credits: 3 - 6

Schedule: 04.09.2024 - 11.12.2024

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: mathematical foundation of option theory, arbitrage; option pricing and hedging, different volatilities; futures, swaps, short selling; interest rate term structure and interest rate derivatives; credit risk; limitations of financial modeling and model risk.

Assessment Methods and Criteria

  • valid for whole curriculum period:

    Examination, assignment

Workload

  • valid for whole curriculum period:

    3 cr version: Lectures 24 h, exercises 24 h, preparation for the exercises and exam 33 h; 5 cr version: Lectures 24 h, exercises 24 h, assignment 54 h, preparation for the exercises and exam 33 h; 6 cr version: Lectures 24 h, exercises 24 h, assignment 54 h, written assignment 27 h, preparation for the exercises and exam 33 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 Autumn I - II
    2025-2026 Autumn I - II

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

Aalto University Code of Academic Integrity and Handling Violations Thereof