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MA50196: Financial derivatives

Follow this link for further information on academic years Academic Year: 2014/5
Further information on owning departmentsOwning Department/School: Department of Mathematical Sciences
Further information on credits Credits: 6
Further information on unit levels Level: Masters UG & PG (FHEQ level 7)
Further information on teaching periods Period: Semester 1
Further information on unit assessment Assessment Summary: EX 100%
Further information on unit assessment Assessment Detail:
  • Examination (EX 100%)
Further information on supplementary assessment Supplementary Assessment: Supplementary assessment (where allowed by programme regulations)
Further information on requisites Requisites:
Further information on descriptions 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.

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).

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).
Further information on programme availabilityProgramme availability:

MA50196 is Optional on the following programmes:

Department of Economics School of Management
* This unit catalogue is applicable for the 2014/15 academic year only. Students continuing their studies into 2015/16 and beyond should not assume that this unit will be available in future years in the format displayed here for 2014/15.
* Programmes and units are subject to change at any time, in accordance with normal University procedures.
* Availability of units will be subject to constraints such as staff availability, minimum and maximum group sizes, and timetabling factors as well as a student's ability to meet any pre-requisite rules.