Overview

Introduction to financial derivatives, option strategies, structured products, option pricing (binomial model and Black-Scholes), greeks, volatility trading, swaps, and interest rate risk and management.

Learning Outcomes

• Comprehend and analyse the role of stochastic modelling in derivative pricing

• Demonstrate a broad understanding of the role of swaps in managing interest rate risks

• Develop and evaluate option and swap strategies for specific market risk problems

• Evaluate the role of derivatives in market risk analytics and in strategic decision making

• Perform a detailed assessment of how to create hedging and speculating strategies depending on the risk preferences of the firm and economic climate