Магистратура
2025/2026
Деривативы и структурные продукты
ID 965375
Статус:
Курс по выбору (Финансы)
Кто читает:
Департамент финансов
Где читается:
Санкт-Петербургская школа экономики и менеджмента
Когда читается:
2-й курс, 2 модуль
Охват аудитории:
для всех кампусов НИУ ВШЭ
Преподаватели:
Назарова Варвара Вадимовна
Язык:
английский
Кредиты:
3
Контактные часы:
28
Course Syllabus
Abstract
This course explores the world of financial derivatives, delving into their pricing and hedging. We’ll discuss in details the risk-neutral asset valuations techniques, pricing of derivatives in Binomial and Black-Scholes settings, the concept of derivative hedging, the concept of no-arbitrage pricing. In this course, the students will have an opportunity to learn about the applications of Monte Carlo simulations methods for derivative pricing.
Learning Objectives
- Gain a comprehensive understanding of the major financial markets and exchanges where derivatives and structured products trade
- Identify the different types of derivatives, including options, futures, forwards, swaps
- Analyze the role of derivatives in risk management, particularly hedging and speculation
- Understand how derivatives are valued and influenced by the Greeks mathematical measures
- Understand the concept of abitrage and no-arbitrage pricing of financial derivatives
- Become familiar with Fundamental Theorem of Asset Pricing
- Become familiar with risk-neutral pricing
- Understand Binomial framework for derivative pricing
- Understand the Greeks in the context of Black-Scholes framework
- Understand the Monte-Carlo approach for derivative pricing
Expected Learning Outcomes
- Describe the structure and operation of major financial markets and exchanges
- Differentiate between various types of derivatives and discuss their unique characteristics and uses
- Analyze how derivatives serve as risk management tools, particularly within structured products
- Utilize valuation models (e.g., Black-Scholes) to price derivatives and interpret the Greeks to assess sensitivity to underlying factors
- Evaluate the risk-return profile of structured products and their potential to enhance portfolio diversification
- Examine real-world cases to illustrate how derivatives are employed in creating structured products
- Discuss the regulatory environment impacng derivaves and structured products
Course Contents
- Financial Markets and Exchanges
- Fundamental Concepts of Derivatives
- Equity-Linked Derivatives
- Synthetic Income Derivatives
- Volatility-Linked Derivatives
- Credit-Linked Derivatives
- Other Derivative-Linked Products
Bibliography
Recommended Core Bibliography
- Keith Cuthbertson, Dirk Nitzsche, & Niall O’Sullivan. (2019). Derivatives : Theory and Practice. [N.p.]: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=2271231
Recommended Additional Bibliography
- Derivatives markets and analysis, Johnson, R. S., 2017