2023/2024
KAN-CFIAO1007U 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 cand.merc. and CFIA
(CFIA)
|
| Course
coordinator |
- Peter Feldhütter - Department of Finance
(FI)
|
| Main academic
disciplines |
|
|
| Teaching
methods |
|
|
|
Last updated on
02-06-2023
|
| Learning objectives |
- 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-point grading scale |
| Examiner(s) |
One internal examiner |
| Exam period |
Spring |
| Aids |
Limited aids, see the list below:
The student is allowed to bring - An approved calculator. Only the models HP10bll+ or Texas BA ll
Plus are allowed (both models are non-programmable, financial
calculators).
- Language dictionaries in paper format
The student will have access to - Advanced IT application package
|
| Make-up exam/re-exam |
Same examination form as the ordinary exam
The number of registered candidates for the make-up
examination/re-take examination may warrant that it most
appropriately be held as an oral examination. The programme office
will inform the students if the make-up examination/re-take
examination instead is held as an oral examination including a
second examiner or external
examiner.
|
|
| Course content, structure and pedagogical
approach |
|
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 continuous-time option pricing: Brownian
Motion, Itô's Lemma, Black-Scholes PDE
- the Black-Scholes option pricing model
- extensions of the Black-Scholes model such as the Heston
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.
|
| Description of the teaching methods |
| Lectures and exercises |
| Feedback during the teaching period |
Solutions to a wide range of exercises are
discussed in the exercise sessions and this gives the students a
tool to check their ability to solve relevant problems.
Students are able to obtain feedback on their assignment solutions
from the teacher or a teaching assistant. |
| Student workload |
| Lectures |
33 hours |
| Preparation for lectures |
66 hours |
| Exercise classes |
14 hours |
| Preparation for exercise classes |
70 hours |
| Assignment |
8 hours |
| Final preparation for exam |
11 hours |
| Exam |
4 hours |
|
| Expected literature |
|
Hull: Options, Futures, and Other Derivatives; 9th
global ed., 2017, Pearson
|
Last updated on
02-06-2023
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