Teaching plan for the course unit (Short version)
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General information

 

Course unit name: Quantitative Methods in Financial Valuation

Course unit code: 363713

Academic year: 2025-2026

Coordinator: Maria Mercedes Galisteo Rodriguez

Department: Department of Economic, Financial and Actuarial Mathematics

Credits: 6

Single program: S

Estimated learning time

Total number of hours 150

 

Face-to-face and/or online activities

60

	-  Lecture with practical component	Face-to-face		52
	-  IT-based class	Face-to-face		8

Supervised project

40

Independent learning

50

Learning objectives

Referring to knowledge Upon successful completion of this course, students can expect to demonstrate a sound understanding of: Different types of spot interest rate: short- and long-term rates. Interest rates inherent to spot rates. Duration and convexity and their applications. The characteristics of different methods for the valuation of options. The characteristics of decentralized (i.e. over-the-counter) and centralised securities markets. The characteristics of interest rate swaps. The characteristics of short- and long-term interest rate futures.   Referring to abilities, skills Derive the term structure of interest rates based on market data. Approximate the value of fixed-income securities using duration and convexity. Value options using the binomial pricing model. Value options using the Black and Scholes model. Compute the settlement amount, value, and fair price of a financial swap. Determine the settlement amount and price of a futures contract. Calculate the optimal hedge ratio.

 

 

Teaching blocks

 

1. Interest rates

2. Financial derivatives

 

 

Official assessment of learning outcomes

 

Continuous assessment Continuous assessment serves to certify and evaluate the acquisition of learning outcomes, and with this objective, students are required to complete the following activities: Exam 1: a practical test on topics 1.1 and 1.2, accounting for 35% of the final grade. Exam 2: a practical on topics 2.1 and 2.2, accounting for 35% of the final grade.  Exam 3: a practical test on topic 2.3, accounting for 35% of the final grade. This last exam (3) coincides with the date assigned for the final examination. Students are considered to be enrolled for the continuous assessment mode if they sit exam 3. If they do not take it, they are understood to have opted out in favour of the single mode of assessment. Repeat assessment consists of a practical exam on the subject matter of the entire course. This exam accounts for 100% of the final grade. To pass the course, students must obtain a minimum score of 5 out of 10. The tests assess students’ ability to apply basic quantitative methods and tools of financial valuation, using spreadsheets and/or a calculator, as well as information provided by the financial markets.   Examination-based assessment Single assessment (and students retaking this mode) consists of a practical exam on the subject matter of the whole course (100% of the final grade). To pass the course, students must obtain a minimum score of 5 out of 10. The test assesses students’ ability to apply basic quantitative methods and tools of financial valuation, using spreadsheets and/or a calculator, as well as information provided by the financial markets.

Reading and study resources

Check availability in Cercabib

Book

AVILES, Fernando. Operaciones con valores y productos derivados. Madrid: Centro de Estudios Financieros, 2000

Catàleg UB  

BADIA, Carmen; GALISTEO, Merche; PREIXENS, Teresa. Derivados sobre tipos de interés: Swaps, FRAs y futuros. Barcelona: Rey Center, 2011

Catàleg UB  

BADIA, Carmen; GALISTEO, Merche; PONS M.Àngels; PREIXENS, Teresa; SARRASÍ, Francisco Javier. Matemàtica Financera. Anàlisi d’operacions de finançament. Barcelona: UB, 2015

Catàleg UB  

BIERWAG, Gerald. Análisis de la duración. Madrid: Alianza, 1991

Catàleg UB  

CASANOVAS, Montserrat. Opciones financieras. 7ª ed. Madrid: Pirámide, 2014

Catàleg UB  

CÓRDOBA, Miguel. Análisis financiero: renta fija: fundamentos y operaciones. Madrid: Thomson, 2003

Catàleg UB  

DALTON, Bill. Financial products: an introduction using mathematics and Excel. Cambridge: Cambridge University Press, 2008

Catàleg UB  

FONTANALS, Hortènsia; RUIZ, Elisabet. Risc de tipus d’interès. Barcelona: Editorial UOC, 2014

Catàleg UB  

HULL, John.C. Introducción a los mercados de futuros y opciones. 8ª ed. México: Pearson Educación, 2014

Catàleg UB  

HULL, John.C. Options, futures, and other derivatives. 9ª Ed. Harlow: Pearson Education Limited, 2018

Catàleg UB  

LAMOTHE, Prosper. Opciones financieras y productos estructurados. 3ª ed. Madrid: McGraw-Hill, 2006

MARTIN, Manuel; MARTIN, José Luis; OLIVER, Mª Dolores; DE LA TORRE, Antonio. Manual práctico de mercados financieros. Delta Publicaciones, Madrid, 2009

MARTIN, José Luis; TRUJILLO, Antonio. Manual de mercados financieros. Paraninfo, Madrid, 2004

MASCAREÑAS, Juan. Gestión de activos financieros de renta fija. Piramide, Madrid, 2002

NAVARRO, Eliseo. Matemáticas de las operaciones financieras. Madrid: Ediciones Pirámide, 2019

Web page

Bolsas y Mercados Españoles [en línia]. Disponible a: www.bolsasymercados.es

Banco de España [en línia]. Disponible a: www.bde.es

Comisión Nacional del Mercado de Valores (CNMV) [en línia]. Disponible a: www.cnmv.es

EUREX [en línia]. Disponible a: www.eurex.com

European Money Markets Institute [en línia]. Disponible a:  www.emmi-benchmarks.eu

European Central Bank [en línia].  Disponible a: www.ecb.europa.eu

Intercontinental Exchange [en línia]. Disponible a: www.ice.com

International Swaps and Derivatives Association (ISDA) [en línia]. Disponible a:  www.isda.org

Tesoro Público [en línia]. Disponible a:  www.tesoro.es