University of London

Small Navigation Menu

Primary Menu



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

  • Derivatives Contract
  • Properties of Stock Options
  • The Behaviour of the Stock Price and the Black-Scholes model
  • Greek Letters and Trading Strategies
  • Interest Rate Models
  • Credit Derivatives and Credit Risk
  • Some Exotic Options
  • Further Numerical Procedures.

Learning outcomes

When you have completed your study of this course you will be able to:

  • Apply the principles of hedging and dynamic hedging
  • Understand the Black-Scholes model and its applications
  • Calculate delta and other measures of sensitivity
  • Evaluate interest rate swap contracts
  • Discuss the role of credit derivatives in risk management
  • Apply appropriate numerical methods for analysing derivatives.


Assessed by one three-hour unseen written examination and by the submission of two tutor marked assignments.​​