Module overview
Aims and Objectives
Learning Outcomes
Knowledge and Understanding
Having successfully completed this module, you will be able to demonstrate knowledge and understanding of:
- the concepts and market mechanics of different types of financial derivatives;
- how we can utilise financial derivatives to create trading strategies and hedge against risk;
- how we can value stock options using appropriate models based on no-arbitrage arguments and risk neutral valuation.
Transferable and Generic Skills
Having successfully completed this module you will be able to:
- combine and apply various methods and techniques to specific problems;
- enhance their quantitative skills.
- be efficient in problem solving with respect to financial derivatives;
Subject Specific Intellectual and Research Skills
Having successfully completed this module you will be able to:
- differentiate among various derivative products;
- construct and explain trading strategies using financial derivatives;
- determine the prices of forwards, futures and options using appropriate models;
- implement risk-neutral valuation to derive the Black-Scholes-Merton option pricing model;
- apply dynamic hedging strategies to manage risk.
Syllabus
Learning and Teaching
Teaching and learning methods
Type | Hours |
---|---|
Teaching | 24 |
Independent Study | 126 |
Total study time | 150 |
Resources & Reading list
Textbooks
Copeland, T. E., Weston, J. F. and Shastri, K. (2005). Financial Theory and Corporate Policy. Pearson.
Merton, R. C. (1992). Continuous-Time Finance.. Wiley.
Steele, J. M. (2012). Stochastic calculus and financial applications (Vol. 45). Springer Science & Business Media.
Strang, G. (2014). Differential Equations and Linear Algebra. Wellesley-Cambridge Press..
Shreve, S. E. (2004). Stochastic calculus for finance II: Continuous-time models (Vol. 11). Springer Science & Business Media..
Hull, J. C (2011). Options, Futures, and Other Derivatives. Prentice Hall.
Assessment
Formative
This is how we’ll give you feedback as you are learning. It is not a formal test or exam.
Class discussions
- Assessment Type: Formative
- Feedback: Formative feedback will be given during classes, lectures and in-person during the office hours or via e-mail when appropriate.
- Final Assessment: No
- Group Work: No
Summative
This is how we’ll formally assess what you have learned in this module.
Method | Percentage contribution |
---|---|
Closed book Examination | 100% |
Referral
This is how we’ll assess you if you don’t meet the criteria to pass this module.
Method | Percentage contribution |
---|---|
Closed book Examination | 100% |
Repeat
An internal repeat is where you take all of your modules again, including any you passed. An external repeat is where you only re-take the modules you failed.
Method | Percentage contribution |
---|---|
Closed book Examination | 100% |
Repeat Information
Repeat type: Internal & External