Financial Derivatives and Risk Management (FDRM)

Course description

Course content
Derivatives, including options, futures and forwards, are financial instruments that can be used
for risk management, speculation, and for arbitrage activities. This course cover the cornerstone
theory in derivatives valuation and risk management, and demonstrates strengths and weaknesses of
different models and illustrates and exemplifies how valuation models and risk measures are applied
in the financial industry.
Contents include: Instrument specifications, market facts and key concepts like the no-arbitrage
principle. Derivatives pricing in the Binomial model. Stochastic calculus with application in
finance. Derivatives pricing in the Black-Scholes-Merton model. Numerical methods including Monte
Carlo simulation. Risk measures and hedging. The course consists of lectures, seminars and computer
labs. Examination includes a computer-based project, a take-home assignment and a final written examination.

Intended Learning Outcomes
Intended Learning Objectives

The purpose of this course is to provide the participants with an understanding of the theoretical valuation principles and basic risk measures, the strengths and weakness of different valuation techniques and risk measures as well as providing ability to apply valuation and risk management techniques in practical examples. More specifically, the learning objectives are:

Knowledge and understanding:

1. Be able to describe standard derivative contracts, their properties and functionality.

Skills and abilities:

2. Be able to understand and apply scientific methods for valuation of options and other derivatives, in continuous and discrete time.

3. Be able to interpret and apply risk measures that are commonly used in risk management.

Judgement and approach:

4. Be able to reflect over and critically survey different assumptions and principles behind derivatives pricing and risk management.

Change semester  

Course title:
Financial Derivatives and Risk Management
Semester: Spring term 2020
Study period: 3 4
Rate of studies: 50%
Level: Graduate level (second cycle)
Credits: 7.5
Language of instruction: English

Course code: Fe4127



Course coordinator:
Oskar Sjölander
Head of course:
Mia Hinnerich
Mia Hinnerich
Student services:
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