Enrolment options

28C00450 - Derivatives and Fixed Income, Lecture, 9.1.2023-22.2.2023

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

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: 09.01.2023 - 22.02.2023

Teacher in charge (valid for whole curriculum period):

Teacher in charge (applies in this implementation): Matti Suominen, Sean Shin, Yu Xiang

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

Instructor: Matti Suominen (Derivatives Part); Sean Seunghun Shin (Fixed Income Part)

E-mail: matti.suominen@aalto.fi; sean.shin@aalto.fi

Office hours: by appointment

Lectures: Online (video lecture and live Zoom session, check MyCourse for details)

Exercises: Online (live Zoom session, check MyCourse for details)

* This course is part of European Common Online Learning (ECOL) network for 2022-2023 (thus fully online).

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:

    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

    This course covers key concepts in understanding derivatives and fixed income securities.

    During the first half, the course explores important features of fixed income markets, covers fundamental concepts about bonds and terms structure, and develops tools for the valuation and risk management of the fixed income securities. The second part of the course provides an introduction into the basic concepts of derivatives. The course introduces three types of derivatives - Options, Futures and Swaps - and outlines hedging and pricing techniques.

     


Assessment Methods and Criteria

  • valid for whole curriculum period:

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

  • applies in this implementation

    Grading Policy

    The final grade (0 – 5 scale) is based on total points (max 100 points); combining assignments (50 %) and exam (50 %) points. To pass the course, you have to get at least 40% of exam points, i.e. 20 points. Conditional on that, your final grade is based on the following scale:  

    90≤x≤100:

    Final grade = 5

    80≤x<90:

    Final grade = 4

    70≤x<80:

    Final grade = 3

    60≤x<70:

    Final grade = 2

    50≤x<60:

    Final grade = 1

    0≤ x<50:

    Final grade = 0, Fail

     

    In this course, cheating and/or plagiarism (such as copying assignments and/or case studies used in other courses and/or from other students) will result in a score of zero on the assignments. For example, if two assignments from two different individuals (or groups) are identical, BOTH will get a zero score on the assignments. Any types of cheating activities during the exams will result in, at a minimum, a grade of “0”.


Workload

  • valid for whole curriculum period:

    Classroom hours  
    Exercise hours  
    Class preparation  
    Exercise preparation  
    Exam preparation  
    Exam 

DETAILS

Study Material

  • 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.

    Recommended text for the derivatives part: “Options, Futures, and Other Derivatives” by John C. Hull, the latest edition.

    Recommended text for fixed income part: “The Handbook of Fixed Income Securities” by Frank J. Fabozzi and Steven V. Mann, 8th Edition.


Substitutes for Courses
Prerequisites

FURTHER INFORMATION

Further Information

  • valid for whole curriculum period:

    This course is an online course.

    Teaching Language : English

    Teaching Period : 2022-2023 Spring III
    2023-2024 Spring III

    Enrollment :

    The course is mandatory for BIZ finance major students. Optional course offered in minor in finance.

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

Aalto University Code of Academic Integrity and Handling Violations Thereof

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