Financial Derivatives

Module code: EC3070

Financial derivative are financial contracts between two parties that obtains its value from underlying assets, interest rates or security to allow the individual parties to predict their future cash flow. This module will take a closer look at how these derivatives are priced and you will have the chance to explore how the following topics influence financial models and markets:

  • Arbitrage, delta hedging and risk-neutral valuation
  • The use of binomial trees to price put- and call- options
  • The Black-Scholes-Merton model

Learning

  • 20 hours of lectures
  • 10 hours of seminars
  • 120 hours of guided independent study

Assessment

  • Exam, 90 minutes (80%)
  • Coursework test, 1 hour (20%)