Course syllabus

Business Administration, Financial Derivates, Second Cycle, 7.5 credits

Course code: FE442A Credits: 7.5
Main field of study: Business Administration Progression: A1F
    Last revised: 09/09/2020
Education cycle: Second cycle Approved by: Head of school
Established: 01/11/2019 Reading list approved: 09/09/2020
Valid from: Spring semester 2021 Revision: 1

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:

  • Price different types of derivatives with analytical formulas and simulation
  • Evaluate empirical research evidence and relate critically to practical limitations
  • Describe and evaluate the use of derivatives for risk management
  • Describe and compare methods for hedging risk exposure from derivatives.

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).

In accordance with university regulations regarding grading systems for first and second-cycle courses (Vice-Chancellor’s decision ORU 2018/00929), one of the following grades shall be used: Fail (U), Pass (G) or Pass with Distinction (VG). For courses that are included in an international Master’s programme (60 or 120 credits) or offered to the university’s incoming exchange students, the grading scale of A-F shall be used. 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 grounds.

Grades used on course are Fail (F), Sufficient (E), Satisfactory (D), Good (C), Very Good (B) or Excellent (A).

Examination
Grades used are Fail (F), Sufficient (E), Satisfactory (D), Good (C), Very Good (B) or Excellent (A).

Assignment
Grades used are Fail (F), Sufficient (E), Satisfactory (D), Good (C), Very Good (B) or Excellent (A).

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

Comments on grades

To obtain a passing grade for the course as a whole, a minimum of grade E is required for all examination moments on the course. To arrive at a course grade, the grades awarded for each examination moment, grades A-E, are first converted to the numerical values 5-1. An average value is then calculated, also taking into account the number of credits for each examination moment in relation to the total number of credits for the course. The course grade is thus awarded by means of a weighted average of the examination moments included on the course.

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.

Reexam
The spring semester reexamination will take place in August and thus replaces the additional reexam.

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.