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ES50154: Financial derivatives

[Page last updated: 15 October 2020]

Follow this link for further information on academic years Academic Year: 2020/1
Further information on owning departmentsOwning Department/School: Department of Economics
Further information on credits Credits: 5      [equivalent to 10 CATS credits]
Further information on notional study hours Notional Study Hours: 100
Further information on unit levels Level: Masters UG & PG (FHEQ level 7)
Further information on teaching periods Period:
Semester 2
Further information on unit assessment Assessment Summary: CW 100%
Further information on unit assessment Assessment Detail:
  • Coursework 1 (CW 50%)
  • Coursework 2 (CW 50%)
Further information on supplementary assessment Supplementary Assessment:
Like-for-like reassessment (where allowed by programme regulations)
Further information on requisites 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: structure and construct portfolios including a variety of financial instruments; apply principles of arbitrage, hedging and risk management; apply and evaluate the Black-Scholes pricing theory, and construct valuations based on the Black-Scholes analysis.

Skills:
Written communication, Numeracy, Time management and Organisational skills, Data acquisition, handling and analysis, Problem solving, Working independently, Critical/analytical skills, Precise thinking, Accuracy and attention to detail.

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).
Further information on programme availabilityProgramme availability:

ES50154 is a Designated Essential Unit on the following programmes:

Department of Economics
  • THES-AFM30 : MSc Economics for Business Intelligence and Systems

Notes: