course-details-portlet

IF400

Financial Derivatives

Choose study year
Credits 7.5
Level Second degree level
Course start Spring 2025
Duration 1 semester
Language of instruction Norwegian
Location Trondheim
Examination arrangement School exam

About

About the course

Course content

Risk management, term contracts, swaps, options, binomial pricing, Black Scholes model, Monte Carlo simulation, exotic options, credit risk.

Learning outcome

Knowledge

The course provides students with knowledge over commonly used financial instruments and derivatives. In particular the course treats the use, the risk, the pricing and hedging of commonly used derivatives in financial and commodity markets.

Skills

After the course, the students will have a command of, in principle, the pricing and hedging of any derivative within the framework of the standard binomial pricing model. The students will also be familiar with the well-known Black Scholes model and know how to utilize Monte Carlo simulation towards pricing and hedging.

General competence

The course is introductory, however, the students will acquire basic general knowledge of derivatives. In particular, they will have insight into the use of such instruments in the reduction of various risks met in businesses.

Learning methods and activities

Lectures and mandatory assignments.

Compulsory assignments

  • Obligatoriske innleveringer

Further on evaluation

During the semester, there are three assignments that must be approved for admission to the exam. Supporting material allowed on exams: Approved calculator regarding NTNUs support material code B-D "specific basic calculator". Other calculators that are allowed in the course are: Casio FC-100V and Texas Instruments - BAII Plus.

Admission to study programme is required, see "special conditions".

Required previous knowledge

None

Course materials

Robert L. McDonald: Derivatives Markets (latest edition). Changes may be announced. Course material decided finally as semester commences.

Credit reductions

Course code Reduction From
BA400 7.5 sp Spring 2008
BA400 7.5 sp Spring 2008
TIØ4140 6 sp Autumn 2017
This course has academic overlap with the courses in the table above. If you take overlapping courses, you will receive a credit reduction in the course where you have the lowest grade. If the grades are the same, the reduction will be applied to the course completed most recently.

Subject areas

  • Economics and Administration

Contact information

Course coordinator

Department with academic responsibility

NTNU Business School