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Department of Mathematical Sciences, Unit Catalogue 2011/12


MA50196: Financial derivatives

Click here for further information Credits: 6
Click here for further information Level: Masters UG & PG (FHEQ level 7)
Click here for further information Period: Semester 1
Click here for further information Assessment: EX 100%
Click here for further information Supplementary Assessment: Supplementary assessment (where allowed by programme regulations)
Click here for further information Requisites:
Click here for further information 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).
Click here for further informationProgramme availability:

MA50196 is a Designated Essential Unit on the following programmes:

School of Management

MA50196 is Optional on the following programmes:

School of Management
NB. Programmes and units are subject to change at any time, in accordance with normal University procedures.