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Financial Derivatives and Risk Management

The purpose of this course is to provide the participants with an understanding of the theoretical valuation principles and basic risk measures, the strengths and weakness of different valuation techniques and risk measures as well as providing ability to apply valuation and risk management techniques in practical examples.

Derivatives, including options, futures and forwards, are financial instruments that can be used for risk management, speculation, and for arbitrage activities. This course cover the cornerstone theory in derivatives valuation and risk management, and demonstrates strengths and weaknesses of different models and illustrates and exemplifies how valuation models and risk measures are applied in the financial industry.
Contents include: Instrument specifications, market facts and key concepts like the no-arbitrage principle. Derivatives pricing in the Binomial model. Stochastic calculus with application in finance. Derivatives pricing in the Black-Scholes-Merton model. Numerical methods including Monte Carlo simulation. Risk measures and hedging.

  • Course structure

    Teaching format

    The course consists of lectures, seminars and computer labs. Examination includes a computer-based project, a take-home assignment and a final written examination.

  • Schedule

    The schedule will be available no later than one month before the start of the course. We do not recommend print-outs as changes can occur. At the start of the course, your department will advise where you can find your schedule during the course.
  • Course literature

    Note that the course literature can be changed up to two months before the start of the course.

    See reading list in the current syllabus.

  • Contact

    Course coordinator:
    Head of course: Mia Hinnerich