Derivative Securities

The course Derivative Securities, is a course within the Master of Science programmes at the Graduate School, School of Business, Economics and Law, University of Gothenburg.

To be eligible for the course Derivative Securities the participant must fulfill the entrance qualifications for the Master of Science programme in Finance, the Master of Science programme in Economics or the Master of Science programme in Accounting and Financial Management. For programme specific entrance requirements, see programme syllabus.

The overall objective of the course is to give advanced knowledge and insight into the valuation of derivative securities and modern risk management practices. The objective involves a general overview of advanced pricing theory as well as advanced uses of derivative securities for purposes of reducing various types of investment risk.

On successful completion of the course, the student will be able to:

1. show understanding of and use advanced mathematical and statistical methods commonly used by derivative traders and professional investors to value derivative securities
2. show understanding and use advanced techniques commonly used by derivative traders and professional investors to effectively hedge investment risk using derivative securities
3. show insight into the application of the methods and techniques used by derivative traders and professional investors for purposes of advanced understanding of derivative valuation and modern risk management practices.

Form of teaching Lectures, seminars and group work.

Learning outcome 1 and 2 will be assessed through a written individual examination. Learning outcome 3 will be assessed through a written individual examination and written reports.

Individual exams shall be written individually, cooperation in formulating text, tables, figures etc. is not allowed.

If a student who has been failed twice for the same examination element wishes to change examiner before the next examination session, such a request is to be granted unless there are specific reasons to the contrary (Chapter 6 Section 22 HF).

If a student has received a certificate of disability study support from the University of Gothenburg with a recommendation of adapted examination and/or adapted forms of assessment, an examiner may decide, if this is consistent with the course’s intended learning outcomes and provided that no unreasonable resources would be needed, to grant the student adapted examination and/or adapted forms of assessment.

If a course has been discontinued or undergone major changes, the student must be offered at least two examination sessions in addition to ordinary examination sessions. These sessions are to be spread over a period of at least one year but no more than two years after the course has been discontinued/changed.

The number of examinations is limited to five.

If a student has been notified that they fulfil the requirements for being a student at Riksidrottsuniversitetet (RIU student), to combine elite sports activities with studies, the examiner is entitled to decide on adaptation of examinations if this is done in accordance with the Local Rules Regarding RIU Students at the University of Gothenburg.

The grading scale comprises: Excellent (A), Very good (B), Good (C), Satisfactory (D), Sufficient (E) and Fail (F).

The grade (A-E) corresponds to the total score a student obtains on the written individual exam (80%) and written reports (20%). To receive a pass grade (A-E) >= 50% points is required. The scale is tied to fixed score intervals:

A: 85-100%

B: 75-84%

C: 68-74%

D: 60-67%

E: 50-59%

F: <50%

The course will be evaluated upon completion. The results of and possible changes to the course will be shared with students who participated in the evaluation and students who are starting the course.