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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. Balint 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
Faculty Faculty of Social Sciences and Law

Description

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 details

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 Details

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)

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