Josť Fajardo


Derivatives

Objetives

The course explores the nature and role of financial markets and institutions in the allocation of resources. 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. Also we study the Cryptocurrencies markets and its derivatives.

Course Outline

Financial and Digital markets, Options, BS Model Greeks, Volatility Smile, Cryptocurrencies, Swaps, CDS, VaR, 

Slides:

class0, class1, class2, class3

Problem set:  PS1

Reading List: 1) Death Derivatives 2) Facebook  3) Monero

       

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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