The course provides a “hands-on” introduction to options trading and risk management using state-of-the-art quantitative tools from the industry.
The course will cover pricing, risk, scenario analysis, P/L attribution and more. It is intended to complement the theoretical courses in derivatives pricing and financial engineering.
Using quantitative tools from the industry, students will learn how to characterise and decompose financial risks and how options and other derivatives can be used to hedge or take risk. As such, the course is relevant for students interested in pursuing careers in investment banking, capital markets, asset management etc.
The lectures will focus on how pricing models are used and how options are traded in practice, and considerable time will be spent on various market conventions, trading terminology and so on.
We will mainly cover liquid products that are widely used by many market participants, i.e., what are the cash flows, how are they priced and how is the risk quantified and hedged.
In parallel with the lectures, students will spend considerable time with pricing and risk management tools in Excel.
Exam info and full course description can be found in the course catalogue.
Course Specific:
To apply for the course, you must have passed a Bachelor's degree in Business Economics, Business Administration, or an equivalent degree.
Participants are strongly recommended to be familiar with basic derivatives pricing concepts at a master’s level.
General:
Exchange students: nomination from your home university
Freemovers: documentation for English Language proficiency
You can read more about admission here.
