NBS8333 : Financial Derivatives
- Offered for Year: 2020/21
- Module Leader(s): Dr Minh Nguyen
- Lecturer: Dr Xiaojing Song
- Owning School: Newcastle University Business School
- Teaching Location: Newcastle City Campus
Semester 1 Credit Value:
Semester 2 Credit Value:
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
|Scheduled Learning And Teaching Activities||Lecture||14||2:00||28:00||N/A|
|Guided Independent Study||Assessment preparation and completion||1||60:00||60:00||N/A|
|Guided Independent Study||Directed research and reading||1||50:00||50:00||N/A|
|Scheduled Learning And Teaching Activities||Small group teaching||8||1:00||8:00||N/A|
|Guided Independent Study||Independent study||1||54:00||54:00||N/A|
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.
The format of resits will be determined by the Board of Examiners
|LBS8333||Financial Derivatives||1||London equivalent module|
|Essay||1||M||20||6000 word group assessment.|
|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.