Overview

Topics may include but not be limited to: Introduction to financial derivatives, Option strategies, Structured products, Option pricing (binomial model and Black-Scholes), Greeks, Volatility trading, Swaps, Interest rate risk and management.

Topics may include but not be limited to: Introduction to financial derivatives, Option strategies, Structured products, Option pricing (binomial model and Black-Scholes), Greeks, Volatility trading, Swaps, Interest rate risk and management.

Assessment Strategy

-threshold -C- to C+ (50-59%). Demonstration of the required knowledge and techniques but with significant mistakes and little development of the subject beyond lecture material.

-good -B- to B+ (60-69%). Clear understanding of the subject, together with evidence of investigation and understanding of theoretical and application, but with some minor errors.

-excellent -A- to A* (70-100%). Excellent grasp of the concepts and techniques together with significant evidence of engagement and understanding of the theory and application in this area.

Learning Outcomes

• Comprehend and critically analyse the role of stochastic modelling in derivative pricing

• Critically evaluate the role of derivatives in market risk analytics and in strategic decision making

• Demonstrate a broad and in-depth understanding of the role of swaps in managing interest rate risks

• Develop and evaluate option and swap strategies for specific market risk problems

• Develop skills to implement and evaluate learning outcomes in Excel

• Perform a detailed assessment of how to create hedging and speculating strategies depending on the risk preferences of the firm and economic climate