Skip to main content

Module

ACC3004 : Derivative Markets

  • Offered for Year: 2021/22
  • Module Leader(s): Dr Bo Che
  • Lecturer: Dr Periklis Boumparis
  • 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

The module aims to develop student understanding of the uses and valuation of financial derivatives and to examine issues concerning the management of risk for financial institutions dealing in financial derivatives. It will provide those with the intention to advise and/or deal in derivatives with the knowledge and skills required for such a job role.

Outline Of Syllabus

1. An Introduction to Derivative Markets
2. Underlying Assets
3. Exchange Traded Futures and Options
4. Clearing
5. Delivery and Settlement
6. Investment Selection and Administration
7. Trading, hedging and Investment Strategies
8. Special regulatory Requirements
9. Valuing Forwards and Futures
10. Valuing Swaps
11. Black-Scholes Option Pricing Model
12. Binomial Option Pricing Model

Teaching Methods

Teaching Activities
Category Activity Number Length Student Hours Comment
Structured Guided LearningLecture materials62:0012:00Pre-recorded lecture materials
Scheduled Learning And Teaching ActivitiesLecture62:0012:00pip lectures
Guided Independent StudyAssessment preparation and completion165:0065:00N/A
Scheduled Learning And Teaching ActivitiesSmall group teaching61:006:00pip seminars
Structured Guided LearningStructured non-synchronous discussion40:302:002 per semester
Guided Independent StudyIndependent study199:0099:00N/A
Scheduled Learning And Teaching ActivitiesScheduled on-line contact time41:004:001 for whole cohort intro, 1 for pre-assessment clinic, 2 for drop-in (1 per semester)
Total200:00
Teaching Rationale And Relationship

The fully blended approach was taken as it offers the flexibility we need to prepare for the uncertain future. Six 2-hour lecture materials and Six 2-hour pip lectures will be used to impart basic knowledge and understanding of the syllabus provided. Six 1-house pip seminars will focus on worked solutions to structured problems. Two 1-hour drop-in sessions will provide students the opportunity to meet with staff to talk thought the queries encountered.

Assessment Methods

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

Exams
Description Length Semester When Set Percentage Comment
Written Examination1802A100N/A
Exam Pairings
Module Code Module Title Semester Comment
LAC3004Derivative Markets2N/A
Formative Assessments
Description Semester When Set Comment
Written Examination1MPractice questions provided
Written Examination2MPractice questions provided
Assessment Rationale And Relationship

One three-hour examination will be set to test the understanding of the material covered in both quantitative and qualitative questions. The student shall be tested based on the understanding of the material theoretically as well as the ability to apply that to scenarios in practice.

In the case of an alternative semester 2 assessment 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. In 2020/21 this alternative was a 24 hour take home exam delivered online, and it is envisioned that if circumstances do not allow a present-in-person timed exam at the end of semester 2, and the professional body agrees, than this may well be an example of the type of alternative assessment which could be put in place.

Reading Lists

Timetable