Module Convenor: Mr Patrick Boyle
The purpose of this module is to provide students with the theory and practice of pricing and hedging derivative securities. These include forward and futures contracts, swaps, and many different types of options. This module covers diverse areas of derivatives, such as equity and index derivatives, foreign currency derivatives and commodity derivatives, as well as interest rate derivatives. This module also addresses the issue of how to incorporate credit risk into the pricing and risk management. All the relevant concepts are discussed based on the discrete time binomial model and the continuous time Black-Scholes model. The extensions of the Lack-Scholes model are also discussed.
Assessment: 80.0% Examination, 20.0% Coursework