The objective of this course is to provide students with a solid understanding of the pricing and hedging of options and futures contracts. Due to the remarkable growth in the use of financial derivative instruments in risk management and asset management, a clear understanding of derivative markets is essential to all specialists in finance. The course is designed around the central concepts of arbitrage, replication and hedging. While the economic reasoning behind these concepts will be strongly emphasized, some emphasis will also be placed on the practical aspects of the use of derivatives as well as the markets in which they are traded. This course would also prepare students for more advanced courses on derivatives.
- Introduction to derivatives markets and derivative instruments
- Basic strategies, insurance, hedging and speculation using options and futures
- Financial forwards and futures: pricing and hedging
- Commodity forwards and futures: pricing and cross-hedging
- Parity and other option price relations
- Binomial option pricing and implementation in Excel VBA
- Black-Scholes option pricing
- Option Greeks and hedging
This is an excerpt from the complete course description for the course. If you are an active student at BI, you can find the complete course descriptions with information on eg. learning goals, learning process, curriculum and exam at portal.bi.no. We reserve the right to make changes to this description.