Dr Rohit Rahi

This course is available on the CEMS Exchange, IMEX Exchange, MSc in Accounting and Finance, MSc in Applicable Mathematics, MSc in Econometrics and Mathematical Economics, MSc in Econometrics and Mathematical Economics (2 Year Programme), MSc in Financial Mathematics, MSc in Risk and Stochastics, MSc in Statistics (Financial Statistics), MSc in Statistics (Financial Statistics) (Research) and MiM Exchange. This course is available with permission as an outside option to students on other programmes where regulations permit.

This is an advanced course. Students will be expected to show some familiarity with probability theory and calculus.

The course provides a thorough grounding in the theory of derivatives pricing and hedging. Particular emphasis is placed on pricing within a multi-period, mostly continuous-time, framework. A special feature of the course is its coverage of the modern theory of no-arbitrage pricing using PDE and martingale methods. These methods are applied to the pricing of vanilla and exotic options, forwards, futures and interest rate derivatives. The uses of derivatives in hedging and risk-management are discussed as well.

20 hours of lectures and 10 hours of seminars in the LT.

Weekly problem sets in classes (10).

Teaching notes will be distributed. No one book covers the entire course, but the following is an excellent reference: John C Hull, Options, Futures and Other Derivatives.

Exam (100%, duration: 2 hours) in the main exam period.