Derivatives across Asset Classes: Valuation and Hedging
| Program start date | Application deadline |
| 2023-10-02 | 2023-05-01 |
| 2024-01-08 | 2023-08-01 |
| 2024-04-22 | 2023-11-01 |
Program Overview
This Derivatives Across Asset Classes short course is ideal for anyone working in, or wishing to work in, derivatives, whether as a quantitative analyst or trader, or in risk management.
You will learn about the concept of primitive assets and risk premium embedded in their price; the notion of complete markets; forwards and futures as linear derivatives and their central role in equities, FX and commodities. You will explore the famous Black-Scholes-Merton model using a change of probability measure, review fundamentals on interest rates and extend the major option pricing formulas to stochastic interest rates. You will also study interest rates - caps, floors, swaptions - and the fundamentals of international finance and the Garman-Kohlhagen formula.
As well as gaining a deep understanding of the economic assumption of no arbitrage, you will benefit from further knowledge on:
This Derivatives Across Asset Classes short course is assessed via coursework (25%) and a final examination (75%).
15 credits at level 7