FM441 Half Unit
Derivatives
This information is for the 2019/20 session.
Teacher responsible
Dr Rohit Rahi
Availability
This course is available on the Global MSc in Management, 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 Risk and Finance, MSc in Statistics (Financial Statistics), MSc in Statistics (Financial Statistics) (LSE and Fudan) 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.
Global MSc in Management ('Accounting and Finance' and 'Finance' concentrations only).
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 will be applied to the pricing of equity options, forwards, futures and interest rate derivatives. The uses of derivatives in hedging and risk-management will be 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 summer exam period.
Key facts
Department: Finance
Total students 2018/19: 111
Average class size 2018/19: 18
Controlled access 2018/19: No
Value: Half Unit
Personal development skills
- Problem solving
- Application of numeracy skills
- Commercial awareness
- Specialist skills