Student Records
Programme & Unit Catalogues

## MA50196: Financial derivatives

Owning Department/School: Department of Mathematical Sciences
Credits: 6      [equivalent to 12 CATS credits]
Notional Study Hours: 120
Level: Masters UG & PG (FHEQ level 7)
Period:
Semester 1
Assessment Summary: EX 100%
Assessment Detail:
• Examination (EX 100%)
Supplementary Assessment:
Like-for-like reassessment (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 Optional on the following programmes:

Department of Economics
Department of Mathematical Sciences
School of Management

 Notes: This unit catalogue is applicable for the 2017/18 academic year only. Students continuing their studies into 2018/19 and beyond should not assume that this unit will be available in future years in the format displayed here for 2017/18. Programmes and units are subject to change 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. Undergraduates: Find out more about these and other important University terms and conditions here. Postgraduates: Find out more about these and other important University terms and conditions here.