2017/2018
KAN-CFIVO1007U Derivatives and Fixed Income
| English Title |
| Derivatives and Fixed
Income |
|
|
| Language |
English |
| Course ECTS |
7.5 ECTS |
| Type |
Mandatory |
| Level |
Full Degree Master |
| Duration |
One Semester |
| Start time of the course |
Spring |
| Timetable |
Course schedule will be posted at
calendar.cbs.dk |
| Study board |
Study Board for MSc in Economics and Business
Administration
|
| Course
coordinator |
- Gyuri Venter - Department of Finance (FI)
|
| Main academic
disciplines |
|
|
|
Last updated on
07-12-2017
|
| Learning objectives |
To achieve the grade 12, students should meet the
following learning objectives with no or only minor mistakes or
errors: The aim of the course is to provide the student with the
skills necessary to:
- understand and explain the payoff and risk properties of the
main types of derivative securities
- understand and explain how derivative securities can be used
for risk management
- understand, explain, and apply the central methods and models
for the pricing of derivative securities
|
| Examination |
|
Derivatives
and Fixed Income:
|
| Exam
ECTS |
7,5 |
| Examination form |
Written sit-in exam on CBS'
computers |
| Individual or group exam |
Individual exam |
| Assignment type |
Written assignment |
| Duration |
4 hours |
| Grading scale |
7-step scale |
| Examiner(s) |
One internal examiner |
| Exam period |
Spring |
| Aids |
Open book: all written and electronic aids,
including internet access
|
| Make-up exam/re-exam |
Same examination form as the ordinary exam
If the number of registered candidates for the make-up
examination/re-take examination warrants that it may most
appropriately be held as an oral examination, the programme office
will inform the students that the make-up examination/re-take
examination will be held as an oral examination
instead.
|
|
| Course content and structure |
|
The course deals with the properties, the applications, and the
pricing of derivative securities. More specifically, the topics
include
- general properties, applications, and pricing results for
forwards and futures
- option strategies
- review and refinements of binomial models
- introduction to Brownian motions
- the Black-Scholes option pricing model
- the Black 76 model for options on forwards/futures
- hedging strategies and the "Greeks"
- volatility smiles
- tree-based interest rate models
- continuous-time interest rate models
- pricing of interest rate derivatives (such as bonds, swaps,
futures, options on bonds, caps, floors, swaptions)
- Monte Carlo simulation
Excel is used wherever relevant.
|
| Teaching methods |
| Lectures and exercises |
| Feedback during the teaching period |
| The teacher provides solutions to exercises
allowing the students to check their abilities to solve relevant
problems. The teacher might offer quizzes giving students a quick
indication of their understanding of certain topics. The teacher
might also offer feedback on voluntary hand-in
assignments. |
| Student workload |
| Lectures |
33 hours |
| Preparation for lectures |
66 hours |
| Exercise classes |
14 hours |
| Preparation for exercise classes |
70 hours |
| Exam |
4 hours |
| Final preparation for exam |
19 hours |
|
| Expected literature |
|
Hull: Options, Futures, and Other Derivatives; 8th
global ed., 2014, Pearson
|
Last updated on
07-12-2017
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