Derivatives (CF30006)

General information

Type:	OB	Curs:	1	Period:	S semester
ECTS Credits:	3 ECTS

Teaching Staff:

Group	Teacher	Department	Language
Sec: A	Carlo Sala	Economía, Finanzas y Contabilidad	ENG

Group	Teacher	Department	Language
Sec: B	Carlo Sala	Economía, Finanzas y Contabilidad	ENG

Group	Teacher	Department	Language
Sec: C	Carlo Sala	Economía, Finanzas y Contabilidad	ENG

Term 1 courses of the MSc. Finance Program or equivalent.

Basic finance concepts, basic undergraduate mathematics, statistics and probability

Lectures and participatory sessions represent about 25 hours and approximately 50% of the workload.
The group assignment, the exercises and the final exam represent another 50% of the workload.

Derivatives are the cornerstone of modern finance and, as such, a very important component in the curriculum of any Finance program and even more so in a graduate one. The concepts developed in the course also have a direct bearing on, and usefulness for, other courses of the program such as Corporate Finance and Fixed Income Markets, and elective courses such as Global Financial Management, International Portfolio Management, and Risk Management in Financial Institutions.

The focus of this course is to give the students the necessary background, both conceptual and technical, to understand the pricing and uses of derivatives as well as the functioning of derivatives markets. The student will learn the main derivatives contracts traded and their uses in security design, financial engineering, and corporate-specific applications. Also, a particular emphasis will be given to the use of derivatives in mitigating risks, through a thorough understanding of the hedging process in corporations and financial institutions. At the end of the course, students should be confident enough to apply for a junior position in trading rooms at financial institutions, in corporate finance and treasury, and in any institution that uses derivatives. The course is also an essential component for students planning to prepare for and take the CFA examinations as well as the FRM (Financial Risk Manager) certification exam of the GARP (Global Association of Risk Professionals) or the PRM (Professional Risk Manager) designation of the PRMIA (Professional Risk Managers' International Association).

1. Quick Overview of the Derivative Markets and Instruments - Forward and Futures Markets

2. Risk Management Strategies Using Forwards and Futures

3. Option Relationships and Trading Strategies

4. Introducing the Binomial option pricing model, its applications and extensions

5. Introduction to Stochastic Calculus

6. The Black and Scholes option pricing model, its extensions and applications

7. Using the Black and Scholes option pricing model for hedging: the Greek letters

8. Introducing some exotic options and their applications

The lectures combine theoretical explanations, real-life examples, and applications (cases) of pricing, arbitraging and hedging in the derivatives markets.
Given the nature of the topic, the theoretical explanations will be greater than the average Esade courses

ASSESSMENT BREAKDOWN

- Hull, J., Options, Futures and Other Derivatives: Global Edition, Pearson Higher Education, 9/E, 2011
- McDonald, R. L., Derivatives Markets: Pearson New International Edition, 3/E, 2013

Group	Teacher	Department
Sec: A	Carlo Sala	Economía, Finanzas y Contabilidad

Group	Teacher	Department
Sec: B	Carlo Sala	Economía, Finanzas y Contabilidad

Group	Teacher	Department
Sec: C	Carlo Sala	Economía, Finanzas y Contabilidad