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:
- how we can utilise financial derivatives to create trading strategies and hedge against risk;
- the concepts and market mechanics of different types of financial derivatives;
- 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:
- determine the prices of forwards, futures and options using appropriate models;
- apply dynamic hedging strategies to manage risk.
- implement risk-neutral valuation to derive the Black-Scholes-Merton option pricing model;
- construct and explain trading strategies using financial derivatives;
- differentiate among various derivative products;
Syllabus
Learning and Teaching
Teaching and learning methods
Type | Hours |
---|---|
Teaching | 24 |
Independent Study | 126 |
Total study time | 150 |
Resources & Reading list
Textbooks
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..
Merton, R. C. (1992). Continuous-Time Finance.. Wiley.
Hull, J. C (2011). Options, Futures, and Other Derivatives. Prentice Hall.
Copeland, T. E., Weston, J. F. and Shastri, K. (2005). Financial Theory and Corporate Policy. Pearson.
Steele, J. M. (2012). Stochastic calculus and financial applications (Vol. 45). Springer Science & Business Media.
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