This subject provides a thorough understanding of derivatives markets (futures, options and swaps). As well as including descriptive information regarding derivative market structures and mechanics and the application and pricing of derivative products, this subject will also emphasise trading and hedging strategies.
|Faculty||Bond Business School|
|Study abroad||Available to Study Abroad students|
1. Knowledge of the contractual features and properties of various derivatives, including options, futures and forwards
2. Determine the value of options, futures and forwards and calculate the payoffs and profits of strategies involving these products
3. Knowledge of the properties of the Wiener process and a recognition of its importance in finance
4. Ability to model standard prices processes using Ito's lemma, to state the SDEs of geometric Brownian motion and the Ornstein-Uhlenbeck process and to find their solutions.
5. Derive and apply the Black-Scholes-Merton formula
6. Understanding of the equivalent martingale measure (EMM), state pricing, and how they relate to the PDE approach to derivatives valuation.
7. Understanding of the principles of modelling the term-structure of interest rates and the ability to apply simple models
8. Demonstrate a general understanding of credit risk and credit risk models
Pre-requisite: FINC71-600 - Managerial Finance OR Admission into BN-13005 - Master of Finance OR BN-13115 - Master of Finance (Professional) OR BN-13118 - Master of Actuarial Science OR BN-13119 - Master of Actuarial Science (Professional) OR BN-13120 - Master of Actuarial Practice