Business Administration, Financial Derivates, Second Cycle, 7.5 credits

Aims and objectives

General aims for second cycle education

Second-cycle courses and study programmes shall involve the acquisition of specialist knowledge, competence and skills in relation to first-cycle courses and study programmes, and in addition to the requirements for first-cycle courses and study programmes shall

• further develop the ability of students to integrate and make autonomous use of their knowledge
• develop the students' ability to deal with complex phenomena, issues and situations, and
• develop the students' potential for professional activities that demand considerable autonomy, or for research and development work.

(Higher Education Act, Chapter 1, Section 9)

Course objectives

After completing the course, students should be able to:

• The price of different types of derivatives with analytical formulas and simulation
• Evaluate empirical research evidence and relate to practical limitations
• Describe and evaluate the use of derivatives for risk management
• Describe and compare the methods of how issuers can protect themselves against their risk exposure.

Main content of the course

The course covers models for interest rates and the term structure, pricing of futures, forwards and swap contracts, numerical option pricing models, stochastic processes and simulation, stochastic calculus and derivations of pricing formulas for options and general derivatives contracts. The course also covers the use of derivatives to hedge risks and real options.

Teaching methods

Teaching is done in the form of teaching lessons and exercises.

Students who have been admitted to and registered on a course have the right to receive tuition and/or supervision for the duration of the time period specified for the particular course to which they were accepted (see, the university's admission regulations (in Swedish)). After that, the right to receive tuition and/or supervision expires.

Examination methods

Examination, 6 credits (Code: A001)
Written individual examination.

Assignment, 1.5 credits (Code: A002)

For students with a documented disability, the university may approve applications for adapted or other forms of examinations.

For further information, see the university's local examination regulations (in Swedish).

Grades

According to the Higher Education Ordinance, Chapter 6, Section 18, a grade is to be awarded on the completion of a course, unless otherwise prescribed by the university. The university may prescribe which grading system shall apply. The grade is to be determined by a teacher specifically appointed by the university (an examiner).

According to regulations on grading systems for first- and second-cycle education (vice-chancellor's decision 2019-01-15, ORU 2019/00107), one of the following grades is to be used: fail, pass, or pass with distinction. The vice-chancellor or a person appointed by the vice-chancellor may decide on exceptions from this provision for a specific course, if there are special reasons.

Grades used on course are Fail (U), Pass (G) or Pass with Distinction (VG).

Examination
Grades used are Fail (U), Pass (G) or Pass with Distinction (VG).

Assignment
Grades used are Fail (U), Pass (G) or Pass with Distinction (VG).

For further information, see the university's local examination regulations (in Swedish).

Comments on grades

Grades used on course are Fail (U), Pass (G) or Pass with Distinction (VG). To receive a Pass (G) for the course, the student must pass the written examination and pass the assignment. To receive a Pass with Distinction for the course, the student must achieve a Pass with Distinction in the written examination and pass the assignment.

The final grade will be translated into the ECTS grading scale.

Specific entry requirements

A total of 9 credits from Business Administration, Corporate Finance, Second cycle, 7.5 credits and Business Administration, Financial Economics and Ethics, Second Level, 7.5 credits. In addition, basic statistics, 15 credits and 7.5 credits in regression analysis / econometrics / scientific method in economics or statistics are required. As well as English 6/English B.

For further information, see the university's admission regulations (in Swedish).

Transfer of credits for previous studies

Students who have previously completed higher education or other activities are, in accordance with the Higher Education Ordinance, entitled to have these credited towards the current programme, providing that the previous studies or activities meet certain criteria.

For further information, see the university's local credit transfer regulations (in Swedish).

Other provisions

The course will be given in English.

Reading list and other teaching materials

Required Reading

Hull, John C (latest edition)
Options, Futures, and Other Derivatives
Prentice Hall

Additions and Comments
Scientific articles, lecture materials and exercises, in total 300 pages.