Economics, Financial Derivates, Second Cycle, 7.5 Credits
The course covers the valuation and hedging of financial derivatives, including forwards, futures, and options. A central focus is the development of the Black-Scholes-Merton option pricing model, introduced through foundational concepts such as Brownian motion, stochastic calculus, and binomial-tree methods. Additional topics may include arbitrage-free yield curve models and Monte Carlo simulations. Selected option pricing approaches are implemented and tested through computer exercises.
ECTS Credits
7.5 Credits
Level of education
Second cycle, has second-cycle course/s as entry requirements (A1F)
School
Örebro University School of Business
When is the course offered?
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Prerequisites: First-cycle courses of 75 credits in Business Administration. Economics, Mathematics for Statistical and Economic Analysis, 7,5 credits, Second Cycle. Statistics, Basic Course, 15 credits and Data Mining and Business Analytics, Basic Course, 15 credits alternatively Statistics, Basic Course, 15 credits and 7,5 credits in regression analysis/econometrics/scientific method within economic or statistics. The applicant must also have qualifications corresponding to the course "English 6" or "English B" from the Swedish Upper Secondary School.
Selection: Academic points
Application code: X2105