The Derivatives module principally concerns the valuation and pricing of derivative instruments. This course will teach students how derivatives may be used to manage financial risk. Valuation techniques of actual OTC and exchange traded contracts are developed.
Introduction to Derivative Markets
Historic and Sociological Perspectives
Spreadsheet, VBA, Python and C++ modelling of financial derivatives
Determination of Forward and Futures Prices
Hedging Strategies using Futures
Yield Curve construction
Interest rate Markets
Fixed Income Instrument Analysis
Swaps
Derivatives Regulation
Spreadsheet modeling of financial derivatives
Mechanics of Option Markets
Properties of Options
Trading Strategies involving Options
Binomial Trees
The Black-Scholes Model
Options on Stock Indices, Currencies and Futures
Teaching methods will include lectures and tutorials. Students will be directed towards problem solving exercises in groups, that are principally aimed at revealing aspects of derivative risk mitigation. Students will be encouraged to present their findings in class. Computer labs will also be used through the course to provide a hands-on approach to learning
| Module Content & Assessment | |
|---|---|
| Assessment Breakdown | % |
| Formal Examination | 80 |
| Other Assessment(s) | 20 |