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Module

NBS8333 : Financial Derivatives

  • Offered for Year: 2021/22
  • Module Leader(s): Dr Minh Nguyen
  • Lecturer: Dr Xiaojing Song
  • Owning School: Newcastle University Business School
  • Teaching Location: Newcastle City Campus
Semesters
Semester 1 Credit Value: 10
Semester 2 Credit Value: 10
ECTS Credits: 10.0

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

Teaching Methods

Teaching Activities
Category Activity Number Length Student Hours Comment
Scheduled Learning And Teaching ActivitiesLecture62:0012:00PiP sessions
Structured Guided LearningLecture materials62:0012:00Pre-recorded materials
Guided Independent StudyAssessment preparation and completion160:0060:00N/A
Scheduled Learning And Teaching ActivitiesSmall group teaching61:006:00PiP sessions
Scheduled Learning And Teaching ActivitiesWorkshops61:006:00Online whole cohort Q&A sessions
Guided Independent StudyIndependent study1104:00104:00N/A
Total200:00
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.

Assessment Methods

The format of resits will be determined by the Board of Examiners

Exams
Description Length Semester When Set Percentage Comment
PC Examination902A70Online Exam
Exam Pairings
Module Code Module Title Semester Comment
LBS8333Financial Derivatives2London equivalent module
Other Assessment
Description Semester When Set Percentage Comment
Essay1M306000 word group assessment.
Formative Assessments
Description Semester When Set Comment
Prob solv exercises1MSeminar questions provided
Prob solv exercises2MSeminar 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.

Reading Lists

Timetable