Postgraduate

Modules

Modules

LBS8333 : Financial Derivatives

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
Guided Independent StudyAssessment preparation and completion160:0060:00N/A
Scheduled Learning And Teaching ActivitiesLecture142:0028:00N/A
Guided Independent StudyDirected research and reading150:0050:00N/A
Scheduled Learning And Teaching ActivitiesSmall group teaching81:008:00N/A
Guided Independent StudyIndependent study154:0054:00N/A
Total200:00
Teaching Rationale And Relationship

• Lectures 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
Written Examination1202A80N/A
Exam Pairings
Module Code Module Title Semester Comment
NBS8333Financial Derivatives2Newcastle parent module
Other Assessment
Description Semester When Set Percentage Comment
Essay1M206000 word group assessment.
Assessment Rationale And Relationship

The assessment tests understanding of the theoretical and current issues.

Reading Lists

Timetable