This course describes and examines financial derivatives such as forwards, futures and options. Drawing on real world financial markets experience and applications, and from classical texts and publications of impact and these innovative in the field.
We review the original motivations for the creation, use of such financial instruments, & discuss the various instruments and strategies in real markets. We then present the financial mathematics of the evolution of such financial derivatives. In detail, we present the derivation of mathematical formula that describes generally derivatives & specifically address issues inherent to European style options, floating strike options, and early exercise uncertainty in American style options. From a wealth portfolio level of description to the trajectory of a random increment & the statistics of the underlying asset the derivative is written on. We present in detail the traditional and modern sophisticated derivations, techniques and computing methods utilized to mathematically describe & quantify, and which are furthermore used to successfully apply trading of these financial instruments.
The course material is intended to be supplemented by published materials and with freeware applications written in say Spreadsheets, Matlab, or the .nb Mathematica 'notebook' languages etc. these readily available, and where interest regarding a particular presented topic may inspire further inquiry by the inquisitive.
Link to course:
https://www.experfy.com/training/courses/financial-derivatives
This course describes and examines financial derivatives such as forwards, futures and options. Drawing on real world financial markets experience and applications, and from classical texts and publications of impact and these innovative in the field.
We review the original motivations for the creation, use of such financial instruments, & discuss the various instruments and strategies in real markets. We then present the financial mathematics of the evolution of such financial derivatives. In detail, we present the derivation of mathematical formula that describes generally derivatives & specifically address issues inherent to European style options, floating strike options, and early exercise uncertainty in American style options. From a wealth portfolio level of description to the trajectory of a random increment & the statistics of the underlying asset the derivative is written on. We present in detail the traditional and modern sophisticated derivations, techniques and computing methods utilized to mathematically describe & quantify, and which are furthermore used to successfully apply trading of these financial instruments.
The course material is intended to be supplemented by published materials and with freeware applications written in say Spreadsheets, Matlab, or the .nb Mathematica 'notebook' languages etc. these readily available, and where interest regarding a particular presented topic may inspire further inquiry by the inquisitive.
Link to course:
https://www.experfy.com/training/courses/financial-derivatives
A brief overview of financial risk management strategies which will be covered in a 2 day workshop on Emerging Markets Investment & Risk Management Strategies on Sept 15-16 2011 in Singapore.
A brief overview of financial risk management strategies which will be covered in a 2 day workshop on Emerging Markets Investment & Risk Management Strategies on Sept 15-16 2011 in Singapore.
1. Course : Financial Economics
Course Description: A study of money and tradable assets, the risk involved, the different
asset pricing models and the decision making process involved in investing funds.
References:
Mejorada, Nenita. JCM Press.Investment M anagement and Personal F inance, 1st
edition.
Hal R. Varian, Intermediate M icro E conomics. New York: W.W. Norton
and Company, 2005.
Jean Jacques Laffont. The E conomics of Uncertainty and Information. Cambridge,
MA: MIT Press, 1989
Juergen Eichberger and Ian Harper. F inancial E conomics. Oxford: Oxford
University Press, 1997.
Yvan Lengwiler. M icrofoundations of F inancial E conomics. Princeton: Princeton
University Press, 2004.
Andrew M. Chisholm, Derivatives Demystified. Chichester, UK: John Wiley
& Sons, 2004.
Bodie, Kane and Marcus, Investments, McGraw Hill, 2008.
Objectives: By the end of the semester, the student is expected to
1. have an understanding of the financial market and the different financial
assets available in the market.
2. be able to make sound decisions regarding investments.
3. create models and forecasts on the financial market.
Course Outline
I. Introduction (1st week, Class discussion)
a. Financial Economics defined
b. Portfolio
c. Risk Tolerance
d. Financial Assets
II. Risky decisions (2nd to 3rd week, Class discussion, problem sets)
a. States of Nature
b. Expected Utility Theorem
c. Risk Aversion
d. Standard Classes of Utility Functions
III. Portfolio Theory (4th to 8th week, class discussion, problem sets)
2. a. Risk and Return
b. Diversification (Risk Aversion and Capital Allocation)
c. Optimal Risky Portfolio
d. Index Models
IV. Fixed Income Securities (9th week, classroom discussion)
V. Capital Asset Pricing Model (CAPM) (10th to 11th week, classroom
discussion, problem sets)
VI. Asset Pricing Theory (APT) (12th week, classroom discussion)
VII. Macroeconomic Analysis (13th week, class room discussion)
VIII. Options/Futures/Swaps (13th week to 14th week, classroom discussion)
Consultation Hours: 2:00 -2:30 TTH