Unit information: Derivatives in 2020/21

Unit name	Derivatives
Unit code	EFIM30028
Credit points	10
Level of study	H/6
Teaching block(s)	Teaching Block 2 (weeks 13 - 24)
Unit director	Dr. Horvath
Open unit status	Not open
Pre-requisites	EFIM30019 Financial Markets 50% in Corporate Finance summative assessment (EFIM20006)
Co-requisites	None
School/department	School of Accounting and Finance - Business School
Faculty	Faculty of Social Sciences and Law

Description including Unit Aims

This unit introduces some of the most commonly traded and used financial derivatives: futures, forwards, swaps and options.

The unit covers

• the properties of futures, forwards, swaps and options;
• how they are used for risk management purposes;
• trading strategies involving options;
• basic principles of pricing derivatives, such as the no arbitrage condition and risk neutrality;
• binomial trees to price derivatives;
• the Black-Scholes option pricing formula.

Intended Learning Outcomes

On successful completion of this unit a student will:

• understand the terms and properties of derivatives contracts;
• understand how various derivatives are used for risk hedging;
• be able to price futures and forwards contracts;
• be able to price European and American put and call options using the Black-Scholes formula and binomial trees.

Teaching Information

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

Assessment Information

This unit will be assessed by 100% exam

Reading and References

Main textbook: Hull, J., Options, Futures and Other Derivative Securities, Prentice Hall (global edition)

Additional suitable textbooks:

Hull, J., Fundamentals of futures and options markets, Prentice Hall (latest edition)

McDonald, R.L., Derivatives Markets, Pearson International Edition (latest ed)