This moduleis designed to demonstrate how financial risk can be managed, packaged and traded. Central to both the text and course material are computational examples of how market participants develop strategies that respond to fluctuations in exchange rates, commodity prices, interest rates etc.. There is a strong computational component to this course. Spreadsheet modelling and coding is an integral part of this module.
Forward, Futures, Puts and Calls
Swaps
Option Properties and the Mechanics of Option Markets
Trading Strategies involving Options
Lattice Methods – Barrier, Asian and Path Dependency
The Black-Scholes Model
The Black Model
Options on Stock Indices, Currencies and Futures
The Greeks
Portfolio Insurance
Monte Carlo Modeling and dealing with violation of BS assumptions
Volatility Smile
Structured Finance
VBA and C++/C# modeling
Group discussions, group and individual exercises. Project based learning will be supported by formal lectures and computer labs. Students will also engage in technical problem solving outside class time with issues arising being analyzed and discussed in class. Students will be required to model a number of finance topics using spreadsheets, VBA and C++/C#.
| Module Content & Assessment | |
|---|---|
| Assessment Breakdown | % |
| Formal Examination | 70 |
| Other Assessment(s) | 30 |