Programmes

Options, Futures and Other Financial Derivatives

  • Summer schools
  • Department of Finance
  • Application code SS-FM360
  • Starting 2020
  • Short course: Closed
  • Location: Houghton Street, London

UPDATE: Due to the global COVID-19 pandemic we will no longer be offering this course in summer 2020. Please check our latest news on this situation here.

This course delivers the concepts and models underlying the modern analysis and pricing of financial derivatives. The underlying philosophy of the course is to first provide the firm foundations for understanding derivatives in general.

The required technical tools will be explained carefully, allowing students to learn the language and to be able to converse with derivatives professionals. Once the tools are in place, those same tools can then be applied to any derivative. Special emphasis will be put on those derivatives that shape the modern world.

The first half of the course involves the review of the required tools, the setup of the pricing framework, the intuition of the methodology and the application to plain vanilla derivatives.

The second half of the course applies those techniques to more advanced topics: exotic derivatives, volatility modelling (including stochastic volatility, local volatility and volatility derivatives such as variance swaps) and interest-rate derivatives.


Session: One
Dates: 22 June - 10 July 2020
Lecturers: Dr Jean-Pierre Zigrand and Dr Rohit Rahi


 

Programme details

Key facts

Level: 300 level. Read more information on levels in our FAQs

Fees:  Please see Fees and payments

Lectures: 36 hours 

Classes: 18 hours

Assessment*: One examination and one essay

Typical credit**: 3-4 credits (US) 7.5 ECTS points (EU)


*Assessment is optional

**You will need to check with your home institution

For more information on exams and credit, read Teaching and assessment

Prerequisites

Calculus and statistics at intermediate undergraduate level. Students must have a good grounding in differential calculus, including Taylor series, and some grounding in integration (including computing expectations of random variables).

Programme structure

  • Arbitrage and Risk-Neutral Pricing
  •  Basic Properties of Forwards and Options
  •  The Binomial model of Cox, Ross and Rubinstein
  •  A primer on Stochastic Calculus and continuous-time modeling
  •  The Model of Black and Scholes
  •  Greeks and Hedging Schemes
  •  Forwards and Futures
  •  American Options
  •  Exotic and Path-Dependent Options, Structured Products
  •  Historical Volatility, Implied Volatility and Heston’s Stochastic Volatility model
  •  Local Volatility
  •  Variance and Correlation Swaps
  •  Introduction to Fixed-Income and Interest Rate derivatives
  •  Interest Rate Options

Course outcomes

The underlying philosophy of the course is to first provide the firm foundations for understanding derivatives in general.

Teaching

LSE’s Department of Finance enjoys a pre-eminent reputation for the excellence of their teaching and research, and for their leading role in public-policy issues. The Department of Finance has grown in recent years to become one of the largest and most highly-regarded finance groups in the UK and Europe. 

LSE’s Department of Finance is closely associated with LSE’s Financial Markets Group and Systemic Risk Centre which regularly hosts a wide variety of seminars, conferences and public addresses by leading academics and practitioners. The Department, along with the Departments of Accounting and Management, was ranked as the UK leader for Business and Management Studies in the 2014 Research Excellence Framework. The Department’s excellence in research and world-class faculty set them apart as global leaders in the field of finance.

On this three-week intensive programme, you will engage with and learn from full-time lecturers from the LSE’s finance faculty.

Reading materials

The main reading material will be the detailed handouts distributed at the beginning of the course. Optionally, the following MBA-level books are standard textbooks in the financial industry:

J.C. Hull, Options, Futures and Other Derivatives, 9th edition, Pearson (2015).

R.L. McDonald, Derivatives Markets, 3rd edition, Pearson (2013).

K. Redhead, Financial Derivatives, Prentice Hall (1997).

P. Veronesi, Fixed Income Securities, Wiley (2010).

*A more detailed reading list will be supplied prior to the start of the programme

**Course content, faculty and dates may be subject to change without prior notice

Sign up

Sign up

  • Please enter a valid email address. We will send you relevant material regarding the LSE Summer School programme.
  • Which course subject area(s) would you like to know more about?
  • Your privacy
    The details you give on this form will be stored on a secure database. LSE Summer School will use your data to send you relevant information about the School and to find out about your experiences of applying to LSE. The data on the form will also be used for monitoring purposes and to track future applications. LSE will not give or sell your details to any other third party organisation. Your data is subject to the LSE website terms and conditions and our Data Protection Policy. You can withdraw from our lists at any time by using the 'unsubscribe/manage email preferences' link that can be found in the footer of each email, or by contacting summer.school@lse.ac.uk.

How to Apply

Related Programmes

Analysis and Management of Financial Risk

Code(s) SS-FM202

Advanced Corporate Finance

Code(s) SS-FM350

Request a prospectus

  • Name
  • Address

Register your interest

  • Name

Speak to Admissions

Content to be supplied