65-019 Options and derivatives
second cycle Master degree study programme Economics and Finance
Course Supervisor: Assoc. Prof. Mihael Perman
Content
- Option markets and principles of option pricing
- Option pricing models (Binomial tree, Black-Scholes model, Black-Scholes as an investment decision making tool)
- Advanced option strategies
- Future markets and pricing
- Forward markets and pricing
- Hedging and Value at Risk (Greeks, delta hedging, minimum-variance hedging, VaR)
- Interest rate derivatives (swaps)