RMSC4007 - Risk Management with Derivatives Concepts
This course aims at understanding the application of derivatives theories for the practical risk management. It starts by reviewing basic concepts of pricing and hedging derivatives, like risk-neutral valuation, arbitrage strategies, hedging strategies, implied volatilities and the Greeks. The Value-at-Risk framework for derivatives positions is discussed. Student will also learn how to apply option theoretic approach to credit risk management.
Instructor: Prof. WONG, Hoi Ying
Textbook
- Björk, T. (2009). Arbitrage theory in continuous time. Oxford university press.