Module manager: Dr Elena Issoglio
Email: E.Issoglio@leeds.ac.uk
Taught: Semester 2 (Jan to Jun) View Timetable
Year running 2016/17
MATH2515 or equivalent
| LUBS3160 | Financial Derivatives |
This module is approved as a discovery module
The module covers futures and option markets, simple asset pricing models and concepts in risk management. The module content expands and complements the CT1 syllabus of the Faculty and Institute of Actuaries (Financial Mathematics, core technical), bridging the gap to continuous time finance topics. The module also covers the asset pricing models, risk measures and risk management which are part of CT8 (Financial Economics).
See learning outcomes.
On completion of this module, students should be able to understand option, future and swap contracts and be familiar with their use in hedging, particularly in hedging interest and foreign exchange risk. Students will also be familiar with simple asset pricing models and basic concepts in risk management.
1. Introduction to futures markets, hedging in futures markets
2. Foreign exchange and Interest rate futures and swaps
3. Options pricing
4. Optimal investment and simple asset pricing models
5. Risk measures and risk management
| Delivery type | Number | Length hours | Student hours |
|---|---|---|---|
| Lecture | 22 | 1 | 22 |
| Tutorial | 7 | 1 | 7 |
| Private study hours | 71 | ||
| Total Contact hours | 29 | ||
| Total hours (100hr per 10 credits) | 100 | ||
Consolidation of course notes and background reading:
- J. C. Hull "Options, Futures, and other Financial Derivatives" (in particular Chapters 1-7, 9, 11, 18 and 20.)
- Faculty/Institute of Actuaries "CT 8 Financial Economics"
- Faculty/Institute of Actuaries "CT 1 Financial Mathematics"
Assessment of success on example sheets.
Contact during tutorials.
| Assessment type | Notes | % of formal assessment |
|---|---|---|
| In-course Assessment | Exercise Sheets | 15 |
| Total percentage (Assessment Coursework) | 15 | |
There is no resit available for the coursework component of this module. If the module is failed, the coursework mark will be carried forward and added to the resit exam mark with the same weighting as listed above.
| Exam type | Exam duration | % of formal assessment |
|---|---|---|
| Standard exam (closed essays, MCQs etc) | 2.0 Hrs 0 Mins | 85 |
| Total percentage (Assessment Exams) | 85 | |
Normally resits will be assessed by the same methodology as the first attempt, unless otherwise stated
The reading list is available from the Library website
Last updated: 08/04/2016
Errors, omissions, failed links etc should be notified to the Catalogue Team