Face-to-face , first term, 30 hours of theory.

English

The objective of the course is to allow students to obtain solid knowledge about different (plain vanilla) financial derivatives. They will learn to identify and define fundamental concepts in financial derivatives. Students will learn to understand the functions of the financial derivatives and will apply the financial theory during financial exercises. After having taken this course, students will be able to price forwards, futures, swaps and (plain vanilla) options.

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* 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

Lectures in which theoretical concepts will be explained, are illustrated with examples and exercises. Financial examples applying theoretical concepts will be demonstrated, together with financial applications in MS Excel.

Written exam:
- If possible, during an on-campus closed book exam, students will have to identify, define and explain theoretical concepts. They will also need to solve problems pricing financial derivatives during an open book exam.
- Should safety measures not allow an on-campus exam: an open book online exam during which students will have to identify and explain theoretical concepts and solve pricing financial derivatives problems.

John C. Hull, “Options, Futures and Other Derivatives, Tenth Edition”,
Pearson/Prentice Hall, New Jersey.

On the university's electronic platform the following additional information will be offered:
- a copy of the slides used
- the exercises that will be solved. Additional exercises will be added (partially with solutions)