ØABED4200 Derivatives Course description

The market for financial derivatives is one of the biggest in the world. The most important derivative securities are forwards, futures, options, and swaps. Derivatives are central instruments for companies when they deal with risk. This subject focuses on how companies and other institutions can reduce risk by using derivatives contracts. The course is taught in English.

ØABED3500 or ØABED4600 Investments

Learning Outcomes:

On successful completion of this subject the student

Knowledge

Have advanced knowledge of markets, trading and valuation of forwards, futures, options and swap contracts.

Have in-dept knowledge about the theories behind valuation models such as Cost of carry for futures and Binominal and Black-Scholes for options.

Have in-dept knowledge about central risk measures such as delta, gamma, vega, theta and rho.

Can analyze new problems using valuation models such as Cost of carry for futures and Binominal and Black-Scholes for options.

Skills

Can analyze existing theories and methods in derivatives pricing.

Can work independently on practical problems in valuing and trading derivatives contracts. 

Can use valuation models such as Cost of carry for futures and Binominal and Black-Scholes for options independently.

General competence

Can contribute to the development and innovation of the use of derivatives contracts.

Can communicate extensive and independent work in the use of derivatives contracts.

The course is taught in lectures.

The following five individual coursework requirements must have been approved in order for the student to take the exam:

Assignment 1  Futures

Assignment 2  Swaps

Assignment 3  Options 1

Assignment 4  Options 2

Assignment 5  Futures, Swaps and Options

All required coursework must be completed and approved by the given deadline in order for the student to take the exam. If one or more coursework requirements have not been approved, the student will be given the opportunity to submit an improved version (once) by the given deadline. The lecturer will provide more detailed information about deadlines for submission.

Written school exam (4 hour)

Calculator (see separate regulations)

One dictionary (either first language-English/English-first language or English/English)

Grading scale A to F.

An internal and an external examiner will grade the exam.

A selection of at least 25% of the exam papers will be assessed by two examiners. The grades awarded to exam papers assessed by the external and internal examiner will be used to determine the level of all exam papers.

Students who have the subject ØABED3800 Derivatives in their bachelor's degree are not allowed to take this course.