|
 Academic Year:
| 2012/3 |
| Owning Department/School:
| Department of Mathematical Sciences |
| Credits:
| 6 |
| Level:
| Masters UG & PG (FHEQ level 7) |
| Period: |
Semester 1 |
| Assessment:
| EX 100% |
| Supplementary Assessment: | Supplementary assessment (where allowed by programme regulations) |
| Requisites:
| |
| 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: demonstrate an understanding of the outcomes of portfolios including a variety of financial instruments; apply principles of arbitrage, hedging and risk management; demonstrate appreciation of the derivation of the Black-Scholes pricing theory, and perform calculations based on the Black-Scholes analysis. Skills: Written communication (T/F/A), Numeracy (T/F/A), Time management and Organisational skills (F), Data acquisition, handling and analysis (F), Problem solving (T/F/A), Working independently (F), Critical/analytical skills (F), Precise thinking (T/F/A), Accuracy and attention to detail (T/F/A). 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). |
| Programme availability: |
MA50196 is a Designated Essential Unit on the following programmes:School of Management
MA50196 is Optional on the following programmes:Department of Economics
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