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Derivatives

M433

The expansion of financial markets since 1973 has been founded on the growth of derivatives, both over the counter derivative contracts and exchange traded contracts.

This was made possible by the development of models for valuing derivatives based upon the mathematics of financial calculus. In this module you will learn the application of those principles to the valuation of derivatives.

Topics covered

  • Unit 1 Derivatives Contracts
  • Unit 2 Properties of Stock Options
  • Unit 3 The Behaviour of the Stock Price and the Black-Scholes model
  • Unit 4 Greek Letters and Trading Strategies
  • Unit 5 Interest Rate Models
  • Unit 6 Credit Derivatives and Credit Risk
  • Unit 7 Some Exotic Options
  • Unit 8 Further Numerical Procedures

Assessment

  • one three-hour unseen written examination (70%)
  • two tutor marked assignments (30%)