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This course is aimed at those who want an introduction to arbitrage pricing.
Prerequisities:
Linear Algebra SF1624 (or SF1604), Calculus SF1625 (or SF1602),
Probability Theory and Statistics SF1901 or equivalent courses.
Examination:
There will be a written exam on Monday June 5, 2017, 8.00-13.00.
Registration for the written examination is required.
Registration for the course, the written exam and all other administrative matters are handled by the the student affairs office .
Grades are set according to the quality of the written exam.
Grades are given in the range A-F, where A is the best and F means
failed, and Fx.
Fx means that you have the right to a complementary examination
(to reach the grade E).
The criteria for Fx is a grade F on the exam, and that an isolated part
of the course can be
identified where you have shown a particular lack of
knowledge and that the examination after a complementary examination on
this
part can be given the grade E.
One additional written exam will be given (in August), the date will be announced later.
Administrative matters:
All administrartive matters such as registration for the course, registration for the exam and so on are handled by the student affairs office, which can be reached via the following links
Swedish
English
Homework:
There will be two homework assignments. Note that solving the homework
assignments is NOT a requirement for passing the course. Correctly solved homework assignments handed
in on time will result in that you will not have to solve parts of, or the whole of, the first exercise on
the exam in June and the next exam, but after that you either have to re-do the homework or solve all
exercises at the exam.
Course literature:
J. Hull: Fundamentals of Futures and Options Markets, 8:th ed.
Available from "Kårbokhandeln".
or
J. Hull: Options, Futures, and Other Derivatives
Available from "Kårbokhandeln".
Preliminary plan
(CL=Camilla Landen)
| Day |
Date |
Time |
Place |
Topic |
Chapter |
Lecturer |
| Mon |
20/3 |
10-12 |
M1
|
Introduction
|
1, 12.1, 12.2 |
CL |
| Thu |
23/3 |
08-10 |
F2
|
Conditional expectation
|
- |
CL |
| Fri |
24/3 |
10-12 |
D1
|
Martingales
|
- |
CL |
| Mon |
27/3 |
10-12 |
E1
|
Binomial model
|
12, 18.1 (20.1) |
CL |
| Thu |
30/3 |
08-10 |
E1
|
General one period model
|
- |
CL |
| Fri |
31/3 |
10-12 |
E1
|
Exercise
|
10.5 |
CL |
| Mon |
4/3 |
10-12 |
F2
|
Dividends
|
18.3 (20.3) |
CL |
| Thu |
6/4 |
08-10 |
M1
|
Forwards and Futures
|
2, 5 |
CL |
| Fri |
7/4 |
10-12 |
M1
|
Exercise
|
- |
CL |
| Wed |
19/4 |
10-12 |
M1
|
Black-Scholes model
|
13 (14), 10, 11 |
CL |
| Thu |
20/4 |
08-10 |
M1
|
Black-Scholes model
|
15, 16 (16, 17) |
CL |
| Fri |
21/4 |
10-12 |
M1
|
Exercise
|
- |
CL |
| Mon |
24/4 |
10-12 |
D1
|
Black-Scholes model
|
17, 18.2 (18, 20.2) |
CL |
| Thu |
27/4 |
08-10 |
D1
|
Interest rates and bonds
|
4 |
CL |
| Fri |
28/4 |
10-12 |
F2
|
Exercise
|
- |
CL |
| Wed |
3/5 |
08-10 |
D1
|
Interest rates and bonds
|
6 |
CL |
| Thu |
4/5 |
10-12 |
M1
|
Interest rate derivatives
|
4 |
CL |
| Fri |
5/5 |
08-10 |
M1
|
Exercise
|
- |
CL |
| Mon |
8/5 |
10-12 |
E1
|
Interest rate derivatives
|
7 |
CL |
| Thu |
11/5 |
08-10 |
F2
|
Currency swaps
|
7.12 |
CL |
| Fri |
12/5 |
10-12 |
F2
|
Exercise
|
- |
CL |
| Mon |
15/5 |
10-12 |
M1
|
Loose ends and summary
|
- |
CL |
| Thu |
18/5 |
08-10 |
E1
|
Exercise
|
- |
CL |
| Fri |
19/5 |
10-12 |
M1
|
Exercise
|
- |
CL |
Chapter refers to chapters in "Fundamentals of Futures and Options Markets"
and "Options, Futures and Other Derivatives" by John C. Hull. Whenever the chapter references
differ the chapters in "Options, Futures and Other Derivatives" are in parenthesis.
Welcome, I hope you will enjoy the course!
Camilla
To course
web page
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