Josť Fajardo


Derivatives

Objetives

The course pays particular attention to the emergence of derivative markets, analyzing the conceptual bases of the new instruments, including their pricing and trading strategies, as well as how financial entities use them in risk management.

Course Outline
Options, BS Model Greeks, Volatility Smile, Swaps, CDS, VaR, 

Slides:

aula0, aula1, aula2, aula3, aula4, Binomial, BSModel, Greeks, Forwards&Futures, Swaps, VaR, VaR2

Problem set: 

Reading List: NYTimes, Death Derivatives

Bibliography

Options, Futures and Other Derivatives, John C. Hull. Prentice Hall. 9edt. 2014

The Handbook of Hybrid Securities: Convertible Bonds, CoCo Bonds and Bail-In. Jan De Spiegeleer, Wim Schoutens, Cynthia Van Hulle. Wiley-Finance. 2014

Grading

A1 and Term paper, each 50%  of final grade

 


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