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Financial Modelling and Derivatives- Period 4
OVERVIEW
CEA CAPA Partner Institution: Vrije Universiteit Amsterdam
Location: Amsterdam, Netherlands
Primary Subject Area: Finance
Instruction in: English
Course Code: E_IBK3_FMD
Transcript Source: Partner Institution
Course Details: Level 300
Recommended Semester Credits: 3
Contact Hours: 84
Prerequisites: Finance I and Quantitative Research Methods I and II.
DESCRIPTION
Central topics in financial modeling that will be discussed are:
- measures of risk in financial markets: variance and volatility of returns;
- trade-off between risk and return;
- estimation of average return and volatility;
- concepts of covariance and correlation; their estimation;
- risk and return of portfolios;
- diversification;
- universal risk measures: Value-at-Risk and Expected Shortfall;
- concept of efficient portfolio. Markowitz model;
- CAPM;
- risk premium and beta;
- multifactor models of risk.
Central topics in the part on derivatives that will be discussed are:
- types and characteristics of financial derivatives;
- use of derivatives in risk hedging;
- options: determining option price with the help of the binomial tree;
- sensitivities of options (Greeks);
- Black-Scholes model for option pricing and its assumptions;
- delta hedging of options;
- implied volatilities and volatility smiles;
Contact hours listed under a course description may vary due to the combination of lecture-based and independent work required for each course therefore, CEA's recommended credits are based on the ECTS credits assigned by VU Amsterdam. 1 ECTS equals 28 contact hours assigned by VU Amsterdam.
- measures of risk in financial markets: variance and volatility of returns;
- trade-off between risk and return;
- estimation of average return and volatility;
- concepts of covariance and correlation; their estimation;
- risk and return of portfolios;
- diversification;
- universal risk measures: Value-at-Risk and Expected Shortfall;
- concept of efficient portfolio. Markowitz model;
- CAPM;
- risk premium and beta;
- multifactor models of risk.
Central topics in the part on derivatives that will be discussed are:
- types and characteristics of financial derivatives;
- use of derivatives in risk hedging;
- options: determining option price with the help of the binomial tree;
- sensitivities of options (Greeks);
- Black-Scholes model for option pricing and its assumptions;
- delta hedging of options;
- implied volatilities and volatility smiles;
Contact hours listed under a course description may vary due to the combination of lecture-based and independent work required for each course therefore, CEA's recommended credits are based on the ECTS credits assigned by VU Amsterdam. 1 ECTS equals 28 contact hours assigned by VU Amsterdam.
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