## FM441Half UnitDerivatives

This information is for the 2017/18 session.

Teacher responsible

Dr Rohit Rahi

Availability

This course is available on the CEMS Exchange, Global MSc in Management, Global MSc in Management (CEMS MIM), Global MSc in Management (MBA Exchange), MBA Exchange, MSc in Accounting and Finance, MSc in Applicable Mathematics, MSc in Econometrics and Mathematical Economics, MSc in Financial Mathematics, MSc in Quantitative Methods for Risk Management, MSc in Statistics (Financial Statistics) and MSc in Statistics (Financial Statistics) (Research). This course is available with permission as an outside option to students on other programmes where regulations permit.

Pre-requisites

This is an advanced course. Students will be expected to have a good grasp of basic probability theory and multivariate calculus.

Course content

The course provides a thorough grounding in the theory of derivatives pricing and hedging. Both discrete-time and continuous-time models will be covered, including a comprehensive treatment of the Black-Scholes model. A special feature of the course is its emphasis on the modern theory of no-arbitrage pricing using martingale methods. These methods are applied to the pricing of equity options, forwards, futures and interest rate derivatives. The uses of derivatives in hedging and risk-management are discussed as well.

Teaching

20 hours of lectures and 10 hours of seminars in the LT.

Formative coursework

Weekly problem sets in classes (10).

Teaching notes will be distributed. No one book covers the entire course, but the following is an excellent reference: John C Hull, Options, Futures and Other Derivatives.

Assessment

Exam (100%, duration: 2 hours) in the main exam period.

Key facts

Department: Finance

Total students 2016/17: 50

Average class size 2016/17: 11

Controlled access 2016/17: Yes

Value: Half Unit

Guidelines for interpreting course guide information

Personal development skills

• Problem solving
• Application of numeracy skills
• Commercial awareness
• Specialist skills

Course survey results

(2013/14 - 2015/16 combined)

1 = "best" score, 5 = "worst" score

The scores below are average responses.

Response rate: 100%

Question

Average
response

2.3

Materials (Q2.3)

2.2

Course satisfied (Q2.4)

2

Lectures (Q2.5)

1.9

Integration (Q2.6)

2.2

Contact (Q2.7)

2.1

Feedback (Q2.8)

2.2

Recommend (Q2.9)

 Yes 56% Maybe 41% No 3%