Financial Derivatives and Risk Management (FDRM)

Schedule

For questions and queries concerning this course, please first consult the course outline (available under course materials) and the course syllabus (see link to the right). Remaining questions and queries can be addressed in person to the lecturer at the first lecture. (Restrain from individual emails.) For administrative questions please consult the course coordinator.


Preliminary schedule and reading instruction, subject to change.


Please note that the first lecture is strongly recommended. This lecture contains essential course information and questions about the course outline will be adressed at this occasion. Please note that if you are prevented from attending this lecture, the responsibility to acquire the information from this lecture is yours (for example via fellow students and Fastreg.)


Please note that the schedule is updated as the course proceed.

Lectures
DatesRoomContentTeacher
Thu 26 March 2020
12:00-15:00

THIS LECTURE IS STRONGLY RECCOMENDED!   

Course introduction and Recap on Forwards, Futures and Options , 

Hull Ch 1,2,4,5, 10-12 and LN0, LN1 

 

Zoom-meeting: https://stockholmuniversity.zoom.us/j/577757092

Hinnerich Mia
Wed 1 April 2020
12:00-15:00

Course introduction and Recap on Forwards, Futures and Options continued 

 

 

Zoom-meeting: https://stockholmuniversity.zoom.us/j/871789282 

Hinnerich Mia
Thu 2 April 2020
14:00-17:00

Course introduction and Recap on Forwards, Futures and Options  continued,

The Binomial Model,     

Hull Ch 13, Ch 21.1-21.3 and LN2  

 

Zoom-meeting: https://stockholmuniversity.zoom.us/j/175974831

Hinnerich Mia
Fri 3 April 2020
13:00-16:00

The Binomial Model continued,

 

Zoom-meeting: https://stockholmuniversity.zoom.us/j/353288911

Hinnerich Mia
Thu 16 April 2020
12:00-15:00

Stochastic Calculus

Hull Ch 14 and LN3

The Black-Scholes-Merton model,

Hull Ch 15 and LN4 

Zoom-meeting: https://stockholmuniversity.zoom.us/j/61619074069

Hinnerich Mia
Fri 17 April 2020
09:00-11:00

The Black-Scholes Merton Model continued

Derivatives Pricing in the BSM model

Hull Ch 15 and LN5 

Zoom-meeting: https://stockholmuniversity.zoom.us/j/63465043448

Hinnerich Mia
Fri 17 April 2020
13:00-15:00

Derivatives Pricing in the BSM model continued   

Zoom-meeting: https://stockholmuniversity.zoom.us/j/61381875036

Hinnerich Mia
Mon 20 April 2020
13:00-16:00

Derivaties Pricing in the BSM model continued

Derivaties Pricing in extended BSM model 

Hull Ch 15, 17, 18 and LN6 

 

Zoom-meeting: https://stockholmuniversity.zoom.us/j/69770479805

Hinnerich Mia
Thu 23 April 2020
09:00-12:00

Hedging and the Greeks

Hull Ch19 and LN7

 

Volatility Smiles

Hull Ch 20, and LN 9

Zoom-meeting: https://stockholmuniversity.zoom.us/j/68464935175

Hinnerich Mia
Fri 24 April 2020
12:00-15:00

Value at Risk,

Hull Ch 22 and LN10 

 

Exotic Options,   

Hull Ch 26 and LN11   

Zoom-meeting:  https://stockholmuniversity.zoom.us/j/62514304252

Hinnerich Mia
Wed 29 April 2020
10:00-13:00

Monte Carlo Simulations,

Hull Ch 21.6-21.7 and LN8 

 

Zoom-meeting: https://stockholmuniversity.zoom.us/j/68460664432

Hinnerich Mia

Seminars
DatesRoomGroupContentTeacher
Tue 21 April 2020
13:00-15:00

Topic: Seminar 1 for FDRM 
Time: Apr 21, 2020 01:00 PM Amsterdam, Berlin, Rome, Stockholm, Vienna

Join Zoom Meeting
https://stockholmuniversity.zoom.us/j/65672771656

Xu Caihong
Tue 19 May 2020
10:00-12:00

Topic: Calculation Exercise 2

Time: May 19, 2020 10:00 AM  to 12:00 AM Stockholm

Join Zoom Meeting
https://stockholmuniversity.zoom.us/j/63174937894

Meeting ID: 631 7493 7894

Xu Caihong
Wed 20 May 2020
10:00-11:00

Zoom-meeting: 

https://stockholmuniversity.zoom.us/j/64515585869

Hinnerich Mia
Mon 25 May 2020
10:00-12:00

Topic: Seminar 3 

Time: May 25, 2020 10:00 AM -12:00 AM Stockholm

 

Join Zoom Meeting

https://stockholmuniversity.zoom.us/j/62745751387

 

Meeting ID: 627 4575 1387

Xu Caihong



Written examination
DatesRoomGroupContentTeacher
Thu 28 May 2020
14:00-19:00
Home-exam Hinnerich Mia
Mon 24 Aug 2020
09:00-13:00
Re-exam Hinnerich Mia




Teaching Rooms
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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

Syllabus

Contact:


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