Financial Derivatives

The goal of the course is to develop firm understanding of the principal ideas and models that underpin modern financial practice and theory and to build hands-on experience in valuation, hedging and trading of financial derivatives.

At the end of the course, students will understand the institutional aspects and methods of valuation and hedging of derivative securities in discrete and continuous time, effectively utilize data on financial derivatives and implement derivative valuation and hedging methods in Python. They shall also test their derivative-based investment strategies using a realistic trading simulator.

This course is required for all participants. It is taught in the first semester and carries 6 ECTS credits. Go to the next course or see the list of courses.

  • Essential Literature
  • M. Joshi, The Concepts and Practice of Mathematical Finance, 2nd Ed., Cambridge Univ. Press (2008)
  • P. Wilmott, S. D. Howison and J. Dewynne, Mathematics of Financial Derivatives, Cambridge Univ. Press (1995).
  • R.H. Chan, Y. ZY. Guo, S. T. Lee, X. Li, Financial Mathematics, Derivatives and Structured Products, Springer (2019).
  • M. Baxter, A. Rennie, Financial Calculus, Cambridge Univ. Press (2012).
  • J. Hull, Options, Futures, and Other Derivatives, 10th Ed., Pearson (2018).