| Code | FIN357 |
| School | EBSL |
| Module Level | 3 |
| Module Code | FIN357 |
| Class | GE|EL|MA|MI| |
| Availability | DE|SA| |
| Semester | 1 |
| Credits | 15 |
| ECTS Credits | 7.5 |
| Contact Hours | 48 |
| Self Study Hours | 102 |
| Course Aims | This module aims to provide a comprehensive and detailed understanding of the use of derivatives for selling, trading and hedging, and of their wider implications. It will enable the successful student to critically analyse a range of issues with respect to specific products and derivatives and financial risk management in general. The course aims to develop the capacity for the successful student to work in investment banking, investment management, the finance function of a firm, or in a regulatory or oversight capacity. |
| Course Content | Outline of course and full review of all administrative issues
Introduction to financial risk management, financial products, and derivative instruments
Mechanics of Futures Markets
Hedging Strategies Using Futures
Interest Rates
Determination of Forward and Futures Prices
Assignment/Presentation Distribution and Review
Interest Rate Futures
Stock Index Futures
Foreign Currency Futures
Mechanics of Options Markets
Properties of Stock Options
Trading Strategies Involving Options
The Greek Letters
Introduction to Binomial Trees
Valuing Stock Options: The Black-Scholes Model
Options on Stock Indices and Currencies
Futures Options
Interest Rate Options
Volatility Smiles
Value at Risk
Swaps
Credit Derivatives
Core Skills Content- Understand the use and applications of financial derivatives (as defined in the topics) and to undertake research and demonstrate a more in-depth knowledge of one of the topic areas, so as to demonstrate and present one's knowledge on a comprehensive exam
- Design a coursework project (from given parameters) for their group, plan and implement how the group will work together and resolve any conflicts leading to a completed project and to present this to the class
- To be an active participant in class discussions, presenting and defending one's views, examining and challenging (in a constructive manner) the views of others and, finally, synthesizing and summarising all information as to identify all major issues in the topic area
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| Learning Outcomes | A10; A12; B9; B10; B11; B12; C11; C13; C15; D9; D10 |
| Presentation | The learning process is arranged as a mix of formal lecture, seminar activities and a coursework project. Normally each week, there will be a formal lecture in the first half and then seminar work in the second half. But this might be flexible depending on progress. The topic and seminar work are outlined in "Indicative Content" in this programme document. |
| Reading Recommended | Kolb, R. W. (2003) Futures, Options and Swaps, 4th ed., Blackwell,
Wilmott, Paul, Paul Wilmott Introduces Quantitative Finance, Wiley
ACADEMIC JOURNAL, NEWS AND WEB-SITES
The Journal of Finance - provides the best coverage of the many aspects of financial risk and related developments in financial theory, in the rigour of peer reviewed journal.
The Journal of Banking and Finance - coverage of theoretical and empirical banking articles.
The Financial Times - the most authoritative European newspaper on financial affairs. You should read this (or the Wall Street Journal) regularly throughout the course.
Risk Magazine - both practitioner and technical sections
Internet sites:
There are several important web pages that we will use from time to time throughout the course - examples:
The Bank of International Settlements www.bis.org
The World Bank www.worldbank.org
London stock exchange : www.londonstockexchange.com
Bank of England www.boe.com
Board of Governors of the Federal Reserve www.bog.frb.fed.us
Details requirements of the stock exchange; provides market statistics and financial reports. Liffe www.liffe.com
Chicago Mercantile Exchange www.cme.com
Chicago Board of Trade www.cbot.com
Contracts and operations of futures and options exchanges
Use the Library newspaper and periodicals database for Financial Times and Economist articles etc. |
| Reading Required | Hull, John C. (2004) Fundamentals of Futures and Options Markets, 5th ed., Prentice Hall
Hull, John C., "Solutions Manual and Study Guide for Fundamentals of Futures and Options Markets", 5th ed., Prentice Hall |
| Asseseement Methods | The assessment consists of Coursework (50% - comprising 40% written assignment and 10% seminar participation) and end-of-term exam (50%). |