NBS8333 : Financial Derivatives
NBS8333 : Financial Derivatives
- Offered for Year: 2024/25
- Module Leader(s): Dr Xiaojing Song
- Lecturer: Dr Minh Nguyen
- Owning School: Newcastle University Business School
- Teaching Location: Newcastle City Campus
Semesters
Your programme is made up of credits, the total differs on programme to programme.
| Semester 1 Credit Value: | 10 |
| Semester 2 Credit Value: | 10 |
| ECTS Credits: | 10.0 |
| European Credit Transfer System | |
Pre-requisite
Modules you must have done previously to study this module
Pre Requisite Comment
N/A
Co-Requisite
Modules you need to take at the same time
Co Requisite Comment
N/A
Aims
This module aims to provide students with a detailed understanding of options, futures, and other financial derivatives. Skills will be developed in basic pricing analysis, use of pricing models, and trading and hedging strategies.
Outline Of Syllabus
Semester 1 -
1 Introduction to module and derivatives
2 Futures and a revision of some statistical concepts
3 Hedging with Futures. Interest Rates
4 Futures and Forward pricing. Interest Rate Futures
5 Swaps. Introduction to Options
6 Stock options. Option Strategies.
7 Binomial option pricing
Semester 2 -
8 Options and the Black-Scholes-Merton Model
9 The Greeks and Volatility Smiles
10 Value at Risk
11 Credit Risk
12 Credit Derivatives
13 Current topic in Financial Derivatives
14 Course Overview and Revision
Learning Outcomes
Intended Knowledge Outcomes
On completion of this module successful students should have the following learning outcomes:
• a systematic and advanced understanding of the theory of financial engineering, with particular focus on derivatives pricing.
• a familiarity with the latest empirical research in this subject area.
• an understanding of the usefulness of derivatives for risk management.
• the ability to critically discuss research in these areas.
• a familiarity with key financial data sources (for example, Bloomberg, Refinitiv, WRDS & OptionMetrics)
Intended Skill Outcomes
On completion of this module successful students should have the following skill outcomes:
• ability to undertake derivatives pricing.
• ability to undertake the different trading strategies covered.
• ability to undertake hedging of risk.
Teaching Methods
Teaching Activities
| Category | Activity | Number | Length | Student Hours | Comment |
|---|---|---|---|---|---|
| Scheduled Learning And Teaching Activities | Lecture | 14 | 2:00 | 28:00 | PIP sessions |
| Guided Independent Study | Assessment preparation and completion | 1 | 60:00 | 60:00 | N/A |
| Scheduled Learning And Teaching Activities | Small group teaching | 6 | 1:00 | 6:00 | Online Zoom |
| Scheduled Learning And Teaching Activities | Workshops | 2 | 1:00 | 2:00 | Online whole cohort Q&A |
| Guided Independent Study | Independent study | 1 | 104:00 | 104:00 | N/A |
| Total | 200:00 |
Teaching Rationale And Relationship
• Lectures materials provide the basic structure of the methods and theories that are introduced and an overview of the current issues.
• Seminars provide an opportunity to enhance understanding of the theoretical aspects of the module.
Reading Lists
Assessment Methods
The format of resits will be determined by the Board of Examiners
Exams
| Description | Length | Semester | When Set | Percentage | Comment |
|---|---|---|---|---|---|
| Written Examination | 120 | 2 | A | 70 | N/A |
Other Assessment
| Description | Semester | When Set | Percentage | Comment |
|---|---|---|---|---|
| Essay | 1 | M | 30 | 6000 word group assessment. |
Formative Assessments
Formative Assessment is an assessment which develops your skills in being assessed, allows for you to receive feedback, and prepares you for being assessed. However, it does not count to your final mark.
| Description | Semester | When Set | Comment |
|---|---|---|---|
| Prob solv exercises | 1 | M | Seminar questions provided |
| Prob solv exercises | 2 | M | Seminar questions provided |
Assessment Rationale And Relationship
The assessment tests understanding of the theoretical and current issues.
In the case of an alternative semester 1 assessment (worth 30% of the overall module mark) being necessary due to circumstances, the module leader will in the first instance consult with the DPD as to the requirements of the professional accrediting body to discuss possible acceptable alternatives.
Timetable
- Timetable Website: www.ncl.ac.uk/timetable/
- NBS8333's Timetable
Past Exam Papers
- Exam Papers Online : www.ncl.ac.uk/exam.papers/
- NBS8333's past Exam Papers
General Notes
N/A
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Disclaimer
The information contained within the Module Catalogue relates to the 2024 academic year.
In accordance with University Terms and Conditions, the University makes all reasonable efforts to deliver the modules as described.
Modules may be amended on an annual basis to take account of changing staff expertise, developments in the discipline, the requirements of external bodies and partners, and student feedback. Module information for the 2025/26 entry will be published here in early-April 2025. Queries about information in the Module Catalogue should in the first instance be addressed to your School Office.