| Unit name | Derivatives |
|---|---|
| Unit code | ECONM3017 |
| Credit points | 15 |
| Level of study | M/7 |
| Teaching block(s) |
Teaching Block 2 (weeks 13 - 24) |
| Unit director | Professor. Nick Taylor |
| Open unit status | Not open |
| Pre-requisites |
None |
| Co-requisites |
None |
| School/department | School of Accounting and Finance - Business School |
| Faculty | Faculty of Social Sciences and Law |
The aim of this unit is to provide an introduction to the pricing of the major derivative securities (that is, forwards/futures, swaps and options), and a training in the use of derivatives in managing risk. The unit is technical in nature.
On completion of this unit students should be able to (inter alia):
1. Understand how financial derivatives are valued based on no-arbitrage pricing and risk-neutral valuation, and how these instruments can be used to implement risk management strategies.
2. Critically discuss the practical usefulness of the Black-Scholes-Merton option pricing model.
3. Appreciate the latest developments in derivative modelling, and understand the latest problems in pricing complex derivatives.
Teaching will be delivered through a combination of synchronous and asynchronous sessions including lectures, tutorials, drop-in sessions, discussion boards and other online learning opportunities
This unit will be assessed by 100% exam
John Hull, "Options, Futures and Other Derivative Securities", 2015, 9th Edition, Prentice Hall.
