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.

Study as an individual module

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%)