University of Piraeus

M.Sc. in Banking and Finance

Finance and Investments

Financial Derivatives and Applications

Michalis Anthropelos, Ph.D. University of Piraeus, Department of Banking and Financial Management

 anthropel@unipi.gr

https://bankfin.unipi.gr/faculty/anthropelos/ 

Objective

This course aims to make students familiar with the financial derivatives; particular attention will be paid to pricing and hedging issues. Future, Swaps and Options will be analysed.  Static and dynamic hedging techniques shall be discussed, and the Black-Scholes and the binomial model will be presented.

Preliminaries

The course does not assume prior knowledge of derivatives instruments.  It will start from basic concepts and it will move fast to more advanced.  Use of mathematics will be done when necessary, but they will be explained thoroughly.  It is desirable that students be familiar with basic finance, and calculus/ statistics concepts (e.g. present value, types of interest rates, partial derivatives, probability distribution, expected value, variance).

Course Outline

The course will cover the following Sections:

Section 1: Forwards and Futures.

Section 2: Swaps.

Section 3: Introduction to Options.

Section 4: Price Factors, Arbitrage Bounds & Strategies.

Section 5: Binomial Option Pricing Model.

Section 6: The Black-Scholes model.

Section 7: Risk Management and Dynamic Hedging.

Bibliography

The Lecturers’ notes will be distributed.  These draw on material from the course textbooks and the recommended references.

Course Textbook

Hull, J. (2015). Options, Futures and other Derivatives, Prentice Hall, 9th Edition.