ES50154: Financial derivatives
[Page last updated: 15 October 2020]
![]() | 2020/1 |
![]() | Department of Economics |
![]() | 5 [equivalent to 10 CATS credits] |
![]() | 100 |
![]() | Masters UG & PG (FHEQ level 7) |
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![]() | CW 100% |
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Description: | Aims: To provide an introduction to derivative securities including futures and options, their valuation and management. Learning Outcomes: At the end of this course, students should be able to: structure and construct portfolios including a variety of financial instruments; apply principles of arbitrage, hedging and risk management; apply and evaluate the Black-Scholes pricing theory, and construct valuations based on the Black-Scholes analysis. Skills: Written communication, Numeracy, Time management and Organisational skills, Data acquisition, handling and analysis, Problem solving, Working independently, Critical/analytical skills, Precise thinking, Accuracy and attention to detail. Content: Introduction to derivatives, including futures and forward contracts, call and put options. Valuation of futures and forwards contracts. Time value of money, interest rates, bonds. Option pricing; put-call parity, trading strategies, arbitrage. Random asset price modelling. Introduction to stochastic calculus. The Black-Scholes analysis for pricing derivatives, including options. Other topics to be chosen from: interest rate swaps and their valuation, assets paying dividends, the binomial pricing model, risk management of options (delta, theta and gamma). |
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ES50154 is a Designated Essential Unit on the following programmes:Department of Economics
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