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Магистратура 2023/2024

Производные финансовые инструменты

Лучший по критерию «Новизна полученных знаний»
Статус: Курс по выбору (Финансовая экономика)
Направление: 38.04.01. Экономика
Когда читается: 2-й курс, 1 модуль
Формат изучения: без онлайн-курса
Охват аудитории: для всех кампусов НИУ ВШЭ
Прогр. обучения: Финансовая экономика
Язык: английский
Кредиты: 3
Контактные часы: 44

Course Syllabus


Part of Dmitry Makarov. Prerequisites: Financial Economics I, Intermediate Calculus, Probability Theory, Mathematical Statistics. The course examines fundamental topics and approaches in derivative pricing. It is quantitatively oriented and requires some 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. Part of Veronika Chistotinova. Pre-requisites: Profound knowledge in economics and finance is appreciated (time value of money, CAPM, probability theory, bonds, equities, main risks associated with financial products). Basic skills of Python programming are welcomed. Abstract: This course is aimed at students who want to pursue career in financial industry and seek for practical side of known theoretical concepts. Objective of the course is to provide well-grounded overview of derivatives pricing and dealing in modern financial markets. Main focus is to familiarize students with market infrastructure as a system, institutions involved into derivatives business and instruments features. During the course students will learn important and practical concepts of derivatives trading. This is vital for the graduates because anyone new to the industry is expected to be up-to-speed within months if not weeks, of starting out. The course is based on lectures, seminars, team work and self-study.
Learning Objectives

Learning Objectives

  • The objective of the course is to undertake a rigorous study of derivative financial instruments. The course is aimed at introducing students to:
  • o key concepts of derivative markets, such as underlying security, replication, no arbitrage, as well as main types of derivative instruments;
  • o ways of option pricing both in discrete and continuous time;
  • o approaches to pricing with multiple sources of uncertainty, etc.
  • practical approach to derivatives valuation, hedging strategies construction skills, trading life hacks learning
Expected Learning Outcomes

Expected Learning Outcomes

  • be able to use difference between conversion factors for calculations
  • apply Structural and reduced-form approach to credit risk modelling to calculate default probabilities
  • calculate returns on particular structured products
  • construct a replicating portfolio
  • distinguish between main derivative instruments and different types of options.
  • do bond hedging with bond futures
  • explain main differences between the different types derivatives and understand their nature, outline how the OTC derivatives work.
  • find an option price through binomial pricing.
  • find an option price under multiple sources of uncertainty.
  • find an option price using Black-Scholes approach.
  • to construct swap contract for a given position of a firm
Course Contents

Course Contents

  • Fundamentals of derivative pricing: Overview
  • Option pricing: static and discrete-time analysis
  • Option pricing in continuous time
  • Pricing with multiple sources of uncertainty
  • Structural and reduced-form models of credit risk
  • Exchange-based and OTC derivatives
  • Options and an introduction to Structured Certificates
  • Short Term interest Rates and Bonds
  • Swaps
  • Structured Equity Products
  • Practitioner's part
Assessment Elements

Assessment Elements

  • non-blocking Exam
  • non-blocking home assignment 1
  • non-blocking home assignment 2
  • non-blocking practitioner's home assignment
    Home assignment may include individual or group case studies that will comprise aspects learnt during the course.
Interim Assessment

Interim Assessment

  • 2023/2024 1st module
    0.55 * Exam + 0.1 * home assignment 1 + 0.1 * home assignment 2 + 0.25 * practitioner's home assignment


Recommended Core Bibliography

  • Hull, J. C. (2017). Options, Futures, and Other Derivatives, Global Edition. [Place of publication not identified]: Pearson. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1538007
  • Investments and portfolio management, Bodie, Z., 2011

Recommended Additional Bibliography

  • Paul Wilmott. (2013). Paul Wilmott on Quantitative Finance. [N.p.]: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=185503