Course - Financial Derivatives - IF400
Financial Derivatives
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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".
Specific 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 |
Subject areas
- Economics and Administration