Postgraduate Course: Derivatives Markets (MATH11056)
Course Outline
| School | School of Mathematics |
College | College of Science and Engineering |
| Course type | Standard |
Availability | Not available to visiting students |
| Credit level (Normal year taken) | SCQF Level 11 (Postgraduate) |
Credits | 7.5 |
| Home subject area | Mathematics |
Other subject area | Financial Mathematics |
| Course website |
None |
Taught in Gaelic? | No |
| Course description | This course will provide students with systematic understanding of and critical awareness of the practice of financial markets. |
Entry Requirements (not applicable to Visiting Students)
| Pre-requisites |
|
Co-requisites | |
| Prohibited Combinations | |
Other requirements | MSc Financial Mathematics students only. |
| Additional Costs | None |
Course Delivery Information
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| Delivery period: 2014/15 Semester 1, Not available to visiting students (SS1)
|
Learn enabled: No |
Quota: None |
|
Web Timetable |
Web Timetable |
| Course Start Date |
15/09/2014 |
| Breakdown of Learning and Teaching activities (Further Info) |
Total Hours:
75
(
Lecture Hours 20,
Summative Assessment Hours 1.5,
Programme Level Learning and Teaching Hours 2,
Directed Learning and Independent Learning Hours
51 )
|
| Additional Notes |
Examination takes place at Heriot-Watt University.
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| Breakdown of Assessment Methods (Further Info) |
Written Exam
100 %,
Coursework
0 %,
Practical Exam
0 %
|
| No Exam Information |
Summary of Intended Learning Outcomes
On completion of this course the student should,
! understand the process and requirements of trading in derivatives contracts;
! be able to compare and contrast the features of the main derivatives contracts;
! understand the main uses of derivatives in hedging, arbitrage and speculation;
! have a critical understanding of the features, including risks, associated with derivative products;
! have a conceptual understanding of the main types of derivatives products and their usage;
! follow complex lines of reasoning and financial concepts;
! be able to calculate fair prices of forward contracts;
! demonstrate an awareness of the practical aspects involved in the trading of derivatives contracts;
! possess the knowledge required to work with derivative products in the financial industry;
! understand the features of the most common derivatives;
! have gained familiarity with the derivative products industry;
! understand the context within which market professionals work;
! be able to find problem solutions in groups;
! be able to plan and organize self-study and independent learning;
! have an awareness of the financial risks associated with derivative products;
! have the ability to accurately calculate prices;
! be able to communicate effectively problem solutions to peers.
|
Assessment Information
| See 'Breakdown of Assessment Methods' and 'Additional Notes' above. |
Special Arrangements
| MSc Financial Mathematics students only. |
Additional Information
| Academic description |
Not entered |
| Syllabus |
Introduction
Forward contracts, European and American options, over-the-counter and exchange-traded derivatives
Options: basics, strategies and profit diagrams
Properties of derivative prices: forward pricing with and without dividends, put-call parity
Futures contracts
Bond and interest-rate derivatives
Exotic options
Counterparty credit risk
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| Transferable skills |
Not entered |
| Reading list |
Hull, J. C. (2005). Options, Futures and Other Derivatives, 6th edition. Prentice Hall. |
| Study Abroad |
Not Applicable |
| Study Pattern |
Not entered |
| Keywords | D Markets |
Contacts
| Course organiser | Dr Sotirios Sabanis
Tel: (0131 6)50 5084
Email: |
Course secretary | Dr Jenna Mann
Tel: (0131 6)50 4885
Email: |
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