Derivative Instruments

Faculteit Economie en Bedrijfskunde
Jaar 2017/18
Vakcode EBM068A05
Vaknaam Derivative Instruments
Niveau(s) master
Voertaal Engels
Periode semester I b
ECTS 5
Rooster rooster

Uitgebreide vaknaam Derivative Instruments
Leerdoelen Upon completion of the course the student is able to:
1. Characterize the main financial derivatives like options, forwards, futures and swaps;
2. Analyze and value the main financial derivatives using the main valuation models;
3. Analyze more complex financial products by using financial derivatives;
4. Write down an argued solution for a problem within the field of financial derivatives in an academic way.
Omschrijving The course focuses on the characterization and valuation of financial derivative instruments, such as options, forwards, futures, and swaps. In addition, attention will be devoted to the use of these instruments in portfolio and corporate risk management. The course material also focuses on institutional aspects, the practical and theoretical way in which market prices are established, and the relation with arbitrage and hedging strategies.
The course material will be discussed during weekly lectures, and students work - and get feedback - on assigned problems during weekly tutorials.
Uren per week 4
Onderwijsvorm hoor- en werkcolleges, zelfstudie
(and guest lecture. 30 contact hours in total)
Toetsvorm opdracht(en), schriftelijk tentamen met open vragen
(assignment(s) 10%, written exam with open questions (90%))
Vaksoort master
Coördinator dr. P.P.M. Smid
Docent(en) drs. M.E. Helmantel ,dr. P.P.M. Smid
Verplichte literatuur
Titel Auteur ISBN Prijs
Options, Futures, and Other Derivatives , 2015, 9th edition, Pearson Education Hull, John C. 9780133456318 ca. €  100,00
Entreevoorwaarden Only for MSc Finance students
Opmerkingen Secretary: Grietje Pol, e-mail g.pol@rug.nl, phone +31 (0)50 3633685, room 5411.0836
Resit semester IIa.
Opgenomen in
Opleiding Jaar Periode Type
DD MSc Finance - Lund University, Lund (1,5-jarig)  (basisprogramma voor studenten van FEB) 1 semester I b verplicht
DD MSc Finance – UAIC of Iasi, Romania (2-jarig)  (basisprogramma voor studenten uit Iasi) 2 semester I b verplicht
MSc Finance  (keuzevakken A MSc Finance) 1 semester I b keuze