FM441 Half Unit
Derivatives
This information is for the 2017/18 session.
Teacher responsible
Dr Rohit Rahi
Availability
This course is available on the CEMS Exchange, Global MSc in Management, Global MSc in Management (CEMS MIM), Global MSc in Management (MBA Exchange), MBA Exchange, MSc in Accounting and Finance, MSc in Applicable Mathematics, MSc in Econometrics and Mathematical Economics, MSc in Financial Mathematics, MSc in Quantitative Methods for Risk Management, 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 have a good grasp of basic probability theory and multivariate calculus.
Course content
The course provides a thorough grounding in the theory of derivatives pricing and hedging. Both discrete-time and continuous-time models will be covered, including a comprehensive treatment of the Black-Scholes model. A special feature of the course is its emphasis on the modern theory of no-arbitrage pricing using martingale methods. These methods are applied to the pricing of equity options, forwards, futures and interest rate derivatives. The uses of derivatives in hedging and risk-management are discussed as well.
Teaching
20 hours of lectures and 10 hours of seminars in the LT.
Formative coursework
Weekly problem sets in classes (10).
Indicative reading
Teaching notes will be distributed. No one book covers the entire course, but the following is an excellent reference: John C Hull, Options, Futures and Other Derivatives.
Assessment
Exam (100%, duration: 2 hours) in the main exam period.
Key facts
Department: Finance
Total students 2016/17: 50
Average class size 2016/17: 11
Controlled access 2016/17: Yes
Value: Half Unit
Personal development skills
- Problem solving
- Application of numeracy skills
- Commercial awareness
- Specialist skills
Course survey results
(2013/14 - 2015/16 combined)
1 = "best" score, 5 = "worst" scoreThe scores below are average responses.
Response rate: 100%
Question |
Average | ||||||
---|---|---|---|---|---|---|---|
Reading list (Q2.1) |
2.3 | ||||||
Materials (Q2.3) |
2.2 | ||||||
Course satisfied (Q2.4) |
2 | ||||||
Lectures (Q2.5) |
1.9 | ||||||
Integration (Q2.6) |
2.2 | ||||||
Contact (Q2.7) |
2.1 | ||||||
Feedback (Q2.8) |
2.2 | ||||||
Recommend (Q2.9) |
|