FM441 Half Unit
Derivatives
This information is for the 2014/15 session.
Teacher responsible
Dr Rohit Rahi OLD 3.43
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 available with permission as an outside option to students on other programmes where regulations permit.
Pre-requisites
This is an advanced course. Students will be expected to show some familiarity with statistics, calculus and random processes.
Course content
The course provides a thorough grounding in the theory of derivatives pricing and hedging. 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 no-arbitrage pricing using PDE and martingale methods. These methods are applied to the pricing of vanilla and exotic options, forwards, futures and 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. The following books are recommended (in increasing level of difficulty): R. McDonald, Derivatives Markets, J Hull, Options Futures and Other Derivatives , and M Baxter & A Rennie, Financial Calculus.
Assessment
Exam (100%, duration: 2 hours) in the main exam period.
Students answer three out of four questions.
Key facts
Department: Finance
Total students 2013/14: 99
Average class size 2013/14: 12
Controlled access 2013/14: No
Lecture capture used 2013/14: No
Value: Half Unit
Personal development skills
- Problem solving
- Application of numeracy skills
- Commercial awareness
- Specialist skills