John C. Hull, 2005, Options, Futures and Other Derivatives, 6^th edition, Prentice Hall

(additional literature will be announced in class or is mentioned below)

 

Maximum of [100% exam] and [70% exam and 30% for (optional) assignments]

 

During this course we will continue with the theory developed in the course on Option Pricing and Hedging (FEW7355). The first part of the course will focus on interest rates, including interest rate futures and forward rate agreements, interest rate swaps, interest rate derivatives and interest rate models. The second part of the course will continue with credit risk for which a start was provided in the course Financial Risk Management (FEW2334). In particular there will be a focus on pricing Credit Default Swaps and Collateral Debt Obligations.