FM441 Half Unit
Derivatives
This information is for the 2025/26 session.
Course Convenor
Dr Rohit Rahi
Availability
This course is available on the Global MSc in Management, MSc in Accounting and Finance, MSc in Econometrics and Mathematical Economics, MSc in Finance and Risk, MSc in Financial Mathematics, MSc in Mathematics and Computation, 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. This course uses controlled access as part of the course selection process.
All students on a programme listed under the Course Availability will be given a place. The course is not capped.
Please contact finance.teachingmanager@lse.ac.uk with any queries.
Global MSc in Management ('Accounting and Finance' and 'Finance' concentrations only).
This course is not capped; any eligible student as listed above that requests a place will be given one.
This course does not permit auditing students.
Requisites
Additional requisites:
This is an advanced course. Students will be expected to have a good grasp of probability theory and multivariate calculus. Prior knowledge of stochastic calculus is not required; the necessary tools will be introduced as part of the course.
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 will be applied to the pricing of equity and currency options, forwards and futures, and interest rate derivatives. The uses of derivatives in hedging and risk management will be discussed as well.
Teaching
30 hours of seminars in the Winter Term.
This course is taught in the interactive lecturing format. There is no distinction between lectures and classes/seminars; there are “sessions” only, and the pedagogical approach in each session is interactive.
Formative assessment
Exercises will be discussed in class each week. Students will be expected to make positive contributions to class discussion.
Indicative reading
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: 120 Minutes, reading time: 15 minutes in the Spring exam period
Key facts
Department: Finance
Course Study Period: Winter Term
Unit value: Half unit
FHEQ Level: Level 7
CEFR Level: Null
Total students 2024/25: 82
Average class size 2024/25: 82
Controlled access 2024/25: YesCourse selection videos
Some departments have produced short videos to introduce their courses. Please refer to the course selection videos index page for further information.
Personal development skills
- Problem solving
- Application of numeracy skills
- Commercial awareness
- Specialist skills