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  6. FI4503: DERIVATIVES AND TREASURY MANAGMENT

FI4503: DERIVATIVES AND TREASURY MANAGMENT (2014-2015)

Last modified: 28 Jun 2018 10:27


Course Overview

The main aim of this course is to provide students with a thorough understanding of basic derivative contracts: options, forwards, futures, swaps, interest rate derivatives, written on a variety of underlying instruments. It will introduce students to essential areas in derivatives from both theoretical and practical perspective: the pricing mechanism of derivatives and mathematical derivation of Black-Scholes model, the derivatives trading, the organization and structure of derivatives markets. The course will equip students with good analytical skills in order to be able to incorporate derivatives into asset portfolio management, use them for hedging purposes, apply different derivatives trading strategies.

Course Details

Study Type Undergraduate Level 4
Term Second Term Credit Points 30 credits (15 ECTS credits)
Campus None. Sustained Study No
Co-ordinators
  • Dr Olga Klinkowska

What courses & programmes must have been taken before this course?

None.

What other courses must be taken with this course?

None.

What courses cannot be taken with this course?

None.

Are there a limited number of places available?

No

Course Description

  • Risk modelling
  • Futures
  • Futures and hedging
  • Pricing and regulatory issues
  • Decomposition and synthesis
  • Option pricing
  • Real options and option applications
  • Portfolio performance
  • Treasury management
  • Development of pricing models
  • Regulation and accounting for derivatives

Contact Teaching Time

Information on contact teaching time is available from the course guide.

Teaching Breakdown

More Information about Week Numbers


Details, including assessments, may be subject to change until 30 August 2024 for 1st term courses and 20 December 2024 for 2nd term courses.

Summative Assessments

1st Attempt: There are two elements to assessment: 1. Continuous assessment

  • Group presentation (5%)
  • Individual report, maximum 2500 words (25%)
2. Examination
  • objective test (20%)
  • a two-hour closed book examination (50%)
Resit: 100% by examination; there is no August resit opportunity and resit is required at the next occasion when the course is delivered, if and only if 1st time failure is not compensatable, that is a result less than CAS 6, or where failure results in insufficient level 4 credits to attain an honours degree.

Formative Assessment

This will take place via tutorial discussions and mid -course multiple choice test. Exercises from the textbook.

Feedback

Verbal feedback is given during tutorial discussions. Answers and marks provided for the multiple choice test Answers available for textbook exercises.

Course Learning Outcomes

None.
 

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