Производные финансовые инструменты

Магистратура 2026/2027

ID 977127

Статус: Курс по выбору (Финансовая экономика)

Кто читает: Международный институт экономики и финансов

Где читается: Международный институт экономики и финансов

Когда читается: 2-й курс, 2 модуль

Охват аудитории: для своего кампуса

Преподаватели: Гордеев Иван Михайлович

Язык: английский

Кредиты: 3

Контактные часы: 36

Full Syllabus Ask Question

Abstract

Prerequisites: Financial Economics I, Intermediate Calculus, Probability Theory, Mathematical Statistics. Basic skills of Python programming are welcomed. The course examines fundamental topics and approaches in derivative pricing. It is quantitatively oriented and requires background in calculus and statistics. Derivative financial instruments are those instruments whose value is “derived” from the value of some underlying asset or assets. Our goal is to learn how to price such instruments using a no-arbitrage principle, and how to hedge them. The course will be particularly relevant to students interested in financial markets, securities trading and structured products development involving derivatives. The course is based on lectures, seminars, team work and self-study.

Learning Objectives

The objective of the course is to undertake a rigorous study of derivative financial instruments.

Expected Learning Outcomes

practical approaches to derivatives valuation, hedging strategies
distinguishing between main derivative instruments and different types of options
finding an option price through binomial pricing
finding an option price using Black-Scholes approach
finding an option price under multiple sources of uncertainty
applying structural and reduced-form approach to credit risk modelling to calculate default probabilities
constructing a replicating portfolio
constructing swap contract for a given position of a firm
calculating returns on particular structured products
bond hedging with bond futures
finding an option price using numerical solutions