Derivatives & Risk Management by Ali Nejadmalayeri

Risk Management
FIN 4163

Risk management and along with it derivative pricing and trading, is, if not the most important but one the most well spoken topics of finance, academic as well as practice. We attempt to develop sufficient understanding of derivative instruments and markets as major tools of risk management. This will hopefully enable us to understand institutional details of the their markets; participants (hedgers, speculators, and arbitrageurs) and their strategies (hedging, speculation, arbitrage).

Major Announcements

Final Exam Guide

Course Outline

As a course in risk management, we first, attempt to introduce basics of risk measurement and review the well-known tools used in risk management, namely derivative securities. We then move to detail discussions about applications of these instruments in risk management.
This course would cover following topics:

Introduction to Risk Management
Corporate Perspective on Risk Management
Measurement of Risk
Futures and Forwards
Cash Flow at Risk (CaR)
Value at Risk (VaR)
Interest Rate Risk Management
New Developments & Products
Concluding Topics

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How to use a Financial Calculator

Though there are many calculator that you can use for this course, the basic logical structure of their (financial calculators) programs is same. We would provide an Introduction to Financial Calculators, so that everybody knows what should you do for classical finance problems. However, I strongly recommend you to become proficient in Computer programming, at least using packages such as Excel which will prove to be most worthy in future. For the purpose of homeworks, you may use the following calculators:

Scientific Calculator

Pricing Calculator

Basic Financial Formulae

Since many students have raised concern with respect to "memorizing too many equations", in order to assure that everyone has access to correct and relevant information, I have prepared a Formulae Sheet for your daily use and/or for test purpose.

Sample Tests

Since THE MOST WANTED topic among students is WHAT IS ON THE TEST, I have provided sample tests and quizzes so you could refer to these as a GUIDE for your test. This by no means implies that you should suffice to sample tests for your exam, but rather the sample tests should be used as merely a GUIDELINE! Your text book, my lectures and any other relevant source are pertinent part of your exams.

List of Sample Tests

List of Answer Keys

Lecture Notes

To accommodate the learning experience, and save a lot of time and money, I have made the lecture notes available through following drop-down menu. You can easily download all the required material, and customized at your discretion. I certainly hope that it proves most worthy! The list of lecture notes for each chapter is:
List of Lecture Notes:
if you don't have Microsoft power point you can Download Power Point Viewer. Since Most files are pdf files, you need acrobat reader. Download your free copy of Acrobat Reader now:

Home Works

Since this course is highly quantitative and with no doubt one of the most valuable skills of any one who desires to price, trade or deal derivatives and manage risk is technical and quantitative proficiency, I prepare number of homework assignments to provide a example of real problems and develop a practical sense of risk management.
A description of the assignments and related material are provided:

List of Homeworks:

Main Page

Teaching

Research

Canon du Finance