Academic Year: 2022-2023
Prerequisite(s): Porfolio Management
Course Hours / Week: 3 hours per week / 8 weeks
The course develops the valuation and hedging of derivative financial products, summarizing the main derivatives as well as the valuation formulas. Part of a derivatives pricing course. This course complements the derivatives course where the characteristics and strategies of the main financial derivatives are studied. The complement of this course emphasizes the development of pricing techniques and deepens the risk management tools of a portfolio with derivative contracts. The principle of the absence of arbitrage opportunities without risk and its application to determine the premium of derivative contracts will be analyzed. Binomial models will be studied and the Black, Scholes and Merton model will be used to extend to more complex derivatives, in addition, CDS and CDO pricing will be considered.