FM441 Half Unit
Derivatives
This information is for the 2013/14 session.
Teacher responsible
Dr Konstantinos Zachariadis OLD M3.02
Availability
This course is available on the MSc in Accounting and Finance, MSc in Applicable Mathematics, MSc in Financial Mathematics, MSc in Risk and Stochastics, MSc in Statistics (Financial Statistics) and MSc in Statistics (Financial Statistics) (Research). This course is not available as an outside option.
Pre-requisites
This is a more advanced course. Students will be expected to show some familiarity with statistics, calculus and random processes.
Course content
Provides a thorough grounding in the theory of derivatives pricing and hedging. This course develops the theories of no-arbitrage asset pricing. Particular emphasis is placed on pricing within a multi-period, mostly continuous-time, framework. A special feature of the course is its coverage of the modern theory of contingent claims valuation by PDE and martingale methods. These asset pricing-methods are applied to the pricing of vanilla and exotic options and corporate liabilities, forwards, futures, as well as fixed income derivatives. The uses of derivatives in hedging and risk-management are discussed as well.
Teaching
20 hours of lectures and 9 hours of seminars in the LT. 1 hour of seminars in the ST.
Formative coursework
Weekly problem sets in classes (10).
Indicative reading
Teaching notes will be distributed. No one book covers the entire course. Books recommended include, in increasing level of difficulty, R. McDonald, Derivative Markets (2nd edn, Pearson Education, 2006), J Hull, Options Futures and Other Derivatives (5th edn, Prentice-Hall, 2003), and M Baxter & A Rennie, Financial Calculus (Cambridge University Press, 1996).
Assessment
Exam (100%, duration: 2 hours) in the main exam period.
Students answer three out of four questions.
Key facts
Department: Finance
Total students 2012/13: 128
Average class size 2012/13: 22
Value: Half Unit
Personal development skills
- Problem solving
- Application of numeracy skills
- Commercial awareness
- Specialist skills