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Financial Modelling and Derivatives- Period 4 Course Overview
OVERVIEW
CEA CAPA Partner Institution: Vrije Universiteit Amsterdam
Location: Amsterdam, Netherlands
Primary Subject Area: Finance
Instruction in: English
Course Code: E_IBK3_FMD
Transcript Source: Partner Institution
Course Details: Level 300
Recommended Semester Credits: 3
Contact Hours: 84
Prerequisites: Finance I and Quantitative Research Methods I and II.
DESCRIPTION
Central topics in financial modeling that will be discussed are: - measures of risk in financial markets: variance and volatility of returns; - trade-off between risk and return; - estimation of average return and volatility; - concepts of covariance and correlation; their estimation; - risk and return of portfolios; - diversification; - universal risk measures: Value-at-Risk and Expected Shortfall; - concept of efficient portfolio. Markowitz model; - CAPM; - risk premium and beta; - multifactor models of risk.
Central topics in the part on derivatives that will be discussed are: - types and characteristics of financial derivatives; - use of derivatives in risk hedging; - options: determining option price with the help of the binomial tree; - sensitivities of options (Greeks); - Black-Scholes model for option pricing and its assumptions; - delta hedging of options; - implied volatilities and volatility smiles;
Contact hours listed under a course description may vary due to the combination of lecture-based and independent work required for each course therefore, CEA's recommended credits are based on the ECTS credits assigned by VU Amsterdam. 1 ECTS equals 28 contact hours assigned by VU Amsterdam.
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