Business Administration, Financial Derivates, Second Cycle, 7.5 credits

Learning outcomes

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.

Content

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.

Examinations and grades

Financial Derivates, 6 credits (Code: A001)
Grades used are Fail (F), Sufficient (E), Satisfactory (D), Good (C), Very Good (B) or Excellent (A).

Assignment, 1.5 credits (Code: A002)
Grades used are Fail (F), Sufficient (E), Satisfactory (D), Good (C), Very Good (B) or Excellent (A).

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 determine which grading system is to be used. The grade must be determined by a teacher specifically nominated by the university (the examiner).

In accordance with university regulations on grading systems for first and second-cycle courses and study programmes (Vice-Chancellor’s decision ORU 2018/00929), one of the following grades is to be used: fail (U), pass (G) or pass with distinction (VG). For courses included in an international master’s programme (60 or 120 credits) or offered to the university’s incoming exchange students, the A to F grading scale is to be used. The vice-chancellor, or a person appointed by them, may decide on exceptions from this provision for a specific course, if there are special grounds for doing so.

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

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.

Modes of assessment

Financial Derivates, 6 credits (Code: A001)
Written examination.

Written assignment, 1.5 credits (Code: A002)

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

For further information, see the university's local examination regulations.

Specific entry requirements

First-cycle courses of 75 credits in Business Administration including an independent project of 15 credits.
Statistics, Basic Course, 15 credits and Data Mining and Business Analytics, Basic Course, 15 credits
alternatively
Statistics, Basic Course, 15 credits and 7.5 credits in regression analysis/econometrics/scientific method within economic or statistics.
The applicant must also have qualifications corresponding to the course "English 6" or "English B" from the Swedish Upper Secondary School.

For further information, see the university's admission regulations.

Other provisions

The course will be given in English.

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.

Reading list and other learning resources

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.