Advanced Financial Risk Management

Academic year: 2007-2008 Course code module MNMF000060 Credits: 7 Study load (hours) 196 Theory (hours): 60,00 Practice/Exercises(hours): Other (hours): Part-time program: Instructor(s) Marc De Ceuster Language of instruction: English Semester exam information: Contract restriction information: 1. Prerequisites *Algemene competenties This course requires Basic knowledge about statistics (Prerequisite of the Programme) Basic knowledge about investment analysis (Empirical Research in Finance) An adequate level of computer skills (Computer Applications in Finance) *Sequentiality 2. Objectives (expected learning outcomes) Students will learn how to decompose financial structures into basic building blocks and how to value and hedge structured products. 3. Course content To a large extent, we will follow John Hull’s classic book. We start with pricing and hedging through forward and futures markets. Next we discuss swaps and their pricing. Options will be priced both in discrete and in continuous time. Special attention will be given to the treatment of dividends. Exotic options will be discussed in relation to the construction of mutual funds. Numerical techniques such as lattices, finite difference methods and Monte Carlo simulation will be explored. An introduction to modelling interest rate options will conclude the course. 4. Teaching method Direct contact: Lectures Exercise sessions Personal work: Exercises 5. Assessment method Exam: Written, with oral presentation Open book Open questions 6. Compulsory reading – study material John Hull, Options, Futures and Other Derivative Securities, Prentice Hall 7. Recommended reading - study material 8. Tutoring Mr. Hairui Zhang, Office B 334, hairui.zhang@ua.ac.be   laatste aanpassing: last update: 13/06/2007 18:44 marc.deceuster