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ACC3004 : Derivative Markets

  • Offered for Year: 2020/21
  • Module Leader(s): Dr Bo Che
  • Owning School: Newcastle University Business School
  • Teaching Location: Newcastle City Campus
Semester 1 Credit Value: 10
Semester 2 Credit Value: 10
ECTS Credits: 10.0


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. Over-the-Counter Derivatives
5. Clearing
6. Delivery and Settlement
7. portfolio Research and Construction
8. Investment Selection and Administration
9. Trading, hedging and Investment Strategies
10. Special regulatory Requirements
11. Valuing Forwards and Futures
12. Valuing Swaps
13. Black-Scholes Option Pricing Model (and Merton's extensions)
14. Binomial Option Pricing Model

Teaching Methods

Teaching Activities
Category Activity Number Length Student Hours Comment
Scheduled Learning And Teaching ActivitiesLecture152:0030:00N/A
Guided Independent StudyAssessment preparation and completion164:0064:00N/A
Guided Independent StudyDirected research and reading146:0046:00N/A
Scheduled Learning And Teaching ActivitiesSmall group teaching61:006:00N/A
Scheduled Learning And Teaching ActivitiesDrop-in/surgery41:004:00N/A
Guided Independent StudyIndependent study150:0050:00N/A
Teaching Rationale And Relationship

Fifteen 2-hour lecture sessions will be used to impart basic knowledge and understanding of the syllabus provided. Six seminars will focus on worked solutions to structured problems. Four drip-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

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 Examination1MSeminar questions provided
Written Examination2MSeminar 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.

Reading Lists