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Unit information: Derivatives in 2020/21

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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
Faculty Faculty of Social Sciences and Law

Description

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.

Intended learning outcomes

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 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

John Hull, "Options, Futures and Other Derivative Securities", 2015, 9th Edition, Prentice Hall.

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