Derivatives and Structured Products

2025/2026

Academic Year

ENG

Instruction in English

3

ECTS credits

Delivered at:

Department of Finance

Course type:

Elective course

When:

2 year, 2 module

Instructors

Krakovich, Victor

Nazarova, Varvara

Course Syllabus

Abstract

This course explores the world of financial derivatives, delving into their pricing and hedging. We’ll discuss in details the risk-neutral asset valuations techniques, pricing of derivatives in Binomial and Black-Scholes settings, the concept of derivative hedging, the concept of no-arbitrage pricing. In this course, the students will have an opportunity to learn about the applications of Monte Carlo simulations methods for derivative pricing.

Learning Objectives

• Gain a comprehensive understanding of the major financial markets and exchanges where derivatives and structured products trade
• Identify the different types of derivatives, including options, futures, forwards, swaps
• Analyze the role of derivatives in risk management, particularly hedging and speculation
• Understand how derivatives are valued and influenced by the Greeks mathematical measures
• Understand the concept of abitrage and no-arbitrage pricing of financial derivatives
• Become familiar with Fundamental Theorem of Asset Pricing
• Become familiar with risk-neutral pricing
• Understand Binomial framework for derivative pricing
• Understand the Greeks in the context of Black-Scholes framework
• Understand the Monte-Carlo approach for derivative pricing

Expected Learning Outcomes

• Describe the structure and operation of major financial markets and exchanges
• Differentiate between various types of derivatives and discuss their unique characteristics and uses
• Analyze how derivatives serve as risk management tools, particularly within structured products
• Utilize valuation models (e.g., Black-Scholes) to price derivatives and interpret the Greeks to assess sensitivity to underlying factors
• Evaluate the risk-return profile of structured products and their potential to enhance portfolio diversification
• Examine real-world cases to illustrate how derivatives are employed in creating structured products
• Discuss the regulatory environment impacng derivaves and structured products

Course Contents

• Financial Markets and Exchanges
• Fundamental Concepts of Derivatives
• Equity-Linked Derivatives
• Synthetic Income Derivatives
• Volatility-Linked Derivatives
• Credit-Linked Derivatives
• Other Derivative-Linked Products

Assessment Elements

• Paper
• Exam

Interim Assessment

• 2025/2026 2nd module
  0.5 * Exam + 0.5 * Paper

Bibliography

Recommended Core Bibliography

• Keith Cuthbertson, Dirk Nitzsche, & Niall O’Sullivan. (2019). Derivatives : Theory and Practice. [N.p.]: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=2271231

Recommended Additional Bibliography

• Derivatives markets and analysis, Johnson, R. S., 2017

Authors

• Nazarova Varvara Vadimovna
• SOLOVEVA EKATERINA EVGENEVNA