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Unit information: Derivatives in 2021/22

Unit name Derivatives
Unit code EFIM30028
Credit points 10
Level of study H/6
Teaching block(s) Teaching Block 2 (weeks 13 - 24)
Unit director Dr. Balint Horvath
Open unit status Not open
Pre-requisites

50% in Principles of Finance (EFIM20044)

OR

50% Asset Markets (EFIM20043)

Co-requisites

EFIM30019 Financial Markets (not relevant for BSc Finance students)

School/department School of Accounting and Finance
Faculty Faculty of Social Sciences and Law

Description including Unit Aims

This unit introduces some of the most commonly traded and used financial derivatives: futures, forwards, swaps and options.

The unit covers

  • the properties of futures, forwards, swaps and options;
  • how they are used for risk management purposes;
  • trading strategies involving options;
  • basic principles of pricing derivatives, such as the no arbitrage condition and risk neutrality;
  • binomial trees to price derivatives;
  • the Black-Scholes option pricing formula.

Intended Learning Outcomes

On successful completion of this unit a student will:

  • understand the terms and properties of derivatives contracts;
  • understand how various derivatives are used for risk hedging;
  • be able to price futures and forwards contracts;
  • be able to price European and American put and call options using the Black-Scholes formula and binomial trees.

Teaching Information

Teaching will be delivered through a combination of synchronous and asynchronous sessions including lectures, tutorials, drop-in sessions, discussion boards and other online learning opportunities

Assessment Information

This unit will be assessed by 100% exam

Resources

If this unit has a Resource List, you will normally find a link to it in the Blackboard area for the unit. Sometimes there will be a separate link for each weekly topic.

If you are unable to access a list through Blackboard, you can also find it via the Resource Lists homepage. Search for the list by the unit name or code (e.g. EFIM30028).

How much time the unit requires
Each credit equates to 10 hours of total student input. For example a 20 credit unit will take you 200 hours of study to complete. Your total learning time is made up of contact time, directed learning tasks, independent learning and assessment activity.

See the Faculty workload statement relating to this unit for more information.

Assessment
The Board of Examiners will consider all cases where students have failed or not completed the assessments required for credit. The Board considers each student's outcomes across all the units which contribute to each year's programme of study. If you have self-certificated your absence from an assessment, you will normally be required to complete it the next time it runs (this is usually in the next assessment period).
The Board of Examiners will take into account any extenuating circumstances and operates within the Regulations and Code of Practice for Taught Programmes.

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