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ActifsDrivsHECLausanne

FacultyofBusinessandEconomics(HECLausanne)
Voustesici:UNIL>HEC>SYLLABUS

Derivatives
Teacher(s):R.Steri
Coursegivenin:English
ECTSCredits:6credits
Schedule:AutumnSemester20162017,4.0h.course+1.0hexercices(weeklyaverage)
sances
coursewebsite
Relatedprogrammes:
MasterofScience(MSc)inActuarialScience
MasterofScience(MSc)inFinance

Objectives
Thecourseisdesignedtointroducefinancestudentstotheanalyticsofoneofthemostimportanttoolsofcontemporary
finance,namelyfinancialderivatives.Thecoursefocusesontheuseandpricingofforwards,futures,swaps,andoptions,
rangingfromtheoreticaltopracticalaspects.
Over the last 35 years, the markets for financial derivatives have grown considerably, and have generated innovative
products, ideas, and job opportunities. Individuals and institutions participate in these markets to meet a variety of
objectives.Forexample,firmsandportfoliomanagerscanusederivativestohedgeparticulartypesofrisks,ortochange
thedistributionofthereturnsontheirportfoliosforspeculativepurposes.Toprovideausefultreatmentofthesetopicsina
rapidlychangingenvironment,itisnecessarytoapproachtopicsatatechnicallevel.
Despite the analysis of financial derivatives is conceptually accessible, the materials are initially challenging for some
students,sincetechnicalconceptsbuildquicklyuponeachother.Thus,studentsarestronglyadvisedtomakesurethey
meetcourserequirements.Bytheendofthecourse,studentsareexpectedtodevelopskillsforpricingderivatives,andfor
developinghedgingandtradingstrategiesusingthem.Thecoursealsoprovidesthenecessaryknowledgetoundertake
relatedspecializedcourses.

Contents
TradingGame,andIntroductiontoDerivatives
ForwardandFutureMarkets,HedgingUsingFutures
InterestRates
ForwardandFuturePrices
InterestRateFutures
Swaps
IntroductiontoOptionsandOptionMarkets
TradingStrategieswithOptions
TwoPeriodModel.Examples:OptionPricing,Forward,Future,andSwapPricing
MultiperiodModel:StochasticProcessesinDiscreteTime,NoArbitrage,DynamicCompleteness,Valuation,
BinomialTrees
ContinuousTimeModel:StochasticProcessesinContinuousTime
ContinuousTimeModel:BlackScholesModel
ContinuousTimeModel:NoArbitragePricinginBlackScholesmodel,Greeks

References
Lectureslidesandexerciseswillbepostedonthecoursewebsite.Thesuggestedbookforthecourseis:
J.Hull,Options,Futures,andOtherDerivatives,PrenticeHall,7thedition,2008
http://hec.unil.ch/hec/syllabus/descriptif/1951?dyn_lang=en

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ActifsDrivsHECLausanne

Alternativebooks(notrequired)include:
J.Hull,FundamentalsofFuturesandOptionsMarkets,6thed.PrenticeHall,2007
T.Bjrk,ArbitrageTheoryinContinuousTime,OxfordFinance,3rdedition,2009.
Possibleadditionalreadingsanddetailedreferenceswillbeannouncedduringthecourse.

Prerequisites
Agoodunderstandingofcalculusandprobabilitytheoryisrequired.

Evaluation
Firstattempt
Exam: Written1h30hours
Documentation: Allowedwithrestrictions
Calculator: Allowedwithrestrictions
Evaluation:
Thecoursehasanoptionalmidtermandamandatorynalexam.Examsareclosedbooksandclosednotes.A
sheetwiththeformulasthatmaybenecessaryfortheexamswillbeprovidedandpublishedonthecoursewebsite
beforetheexams.Youwillneedacalculatorfortheexams.Atyourrstattempt,yournalgradeisdeterminedas
follows:60%FinalExam20%MidtermExam15%TradingGame5%ClassParticipation.Themidtermexamwill
beannouncedsoon.Thetradinggamedeadlinesareindicatedintheschedulebelow.Thefinalexamwilltake
place during theregular examination sessions. The midterm exam is based on the materials of thr first part of
thecourse(coveredinWeeks1to7),anditisoptional.Fori)studentswhodecidednottotakethemidtermexam,
and for ii) students who are not satied with their performance in the midterm, thegrade is determined as: 80%
FinalExam15%TradingGame5%ClassParticipation.Studentswhoareinsteadsatisedwiththeirperformance
in the midterm exam have the option to take the final exam only on the second part of the topics (covered in
Weeks 8 to 14). In order to exercise this option, it is mandatory to send an email to roberto.steri@unil.ch before
December1st,11am.Theemailshouldexplicitlystatethatyouwouldliketohavethenalonlyonthesecondpart,
andthatyouwouldlikeyourresultinthemidtermtoaccountfor30%ofyourfinalgrade.Withnoexceptions,the
midterm is void for all students that by December 1st, 11 am, have not sent such an email according to the
instructions. For all retakes, the grade is given by the maximum of 95% Final Exam 5% Class Participation and
100%FinalExam.
Retake
Exam: Written1h30hours
Documentation: Allowedwithrestrictions
Calculator: Allowedwithrestrictions
Evaluation:
Forallretakes,thegradeisgivenbythemaximumof(i)95%FinalExam+5%ClassParticipation,and(ii)100%
FinalExam.
Retakesareclosedbooksandclosednotes.Asheetwiththeformulasthatmaybenecessaryfortheexamswillbe
providedandpublishedonthecoursewebsitebeforetheexams.Youwillneedacalculator.Nonprogrammable
calculatorsonlyareauthorized.

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InternefCH1015LausanneSuisseTl.+41216923300Fax+41216923305

http://hec.unil.ch/hec/syllabus/descriptif/1951?dyn_lang=en

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