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GERF2110 - Asset pricing
Credits :
6
Lecturer :
Mode of delivery :
Face-to-face , first term, 30 hours of theory.
Language of instruction :
English
Learning outcomes :
We start with an overview of the basic concepts of Bond Pricing and Portfolio Theory. The main focus of the course is, however, on the Derivatives Market. The aim of this course is to familiarize oneself with different kind of (plain vanilla) derivative products. After having taken this course, you should be able to price bonds, stocks, forwards, futures, swaps and (plain vanilla) options.
Prerequisites :
None
Co-requisites :
None
Course contents :
* Revising Bond Pricing (term structure, duration and convexity) and Portfolio Theory
* Introducing Derivatives and Trading Strategies involving Options
* Futures Market and Hedging with Futures
* Determining Forwards and Futures Prices
* Swaps: Pricing Interest Rate and Currency Swaps
* Option Markets and Properties of Stock Options
* Option Pricing Using Binomial Trees
* Black-Scholes-Merton Model
* The Greeks
Planned learning activities and teaching methods :
Lectures in which theoretical concepts will be explained, and illustrated with examples.
Assessment methods and criteria :
Theory/ Key concepts (50%): Written closed book exam;
Exercises (50%): Written open book exam.
Recommended or required reading :
John C. Hull, “Options, Futures and Other Derivatives, Tenth Edition”,
Pearson/Prentice Hall, New Jersey.
Other information :
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