Please note: there may be some adjustments to the teaching arrangements published in the course catalogue for 2020-21. Given current circumstances related to the Covid-19 pandemic it is anticipated that some usual arrangements for teaching on campus will be modified to ensure the safety and wellbeing of students and staff on campus; further adjustments may also be necessary, or beneficial, during the course of the academic year as national requirements relating to management of the pandemic are revised.

Financial Derivatives ECON4012

  • Academic Session: 2021-22
  • School: Adam Smith Business School
  • Credits: 15
  • Level: Level 4 (SCQF level 10)
  • Typically Offered: Semester 1
  • Available to Visiting Students: Yes
  • Available to Erasmus Students: Yes

Short Description

This course covers options, forward contracts, futures contracts, and swaps; the concept of arbitrage; fundamental option price theorems, put-call parity; derivation of the binomial and Black-Scholes option pricing models; valuation of futures contracts; stock index, interest rate and currency futures; examples of hedging and speculation using options, futures and swaps; portfolio insurance; credit risk and interest-rate swaps; the swap spread versus the corporate-bond spread.

Timetable

Lectures: 10 x 2 hours, Thursdays 14.00-16.00

Additional 1-hour revision lecture outwith regular teaching hours

Tutorials are held at various times and can be selected on MyCampus

Requirements of Entry

Entry to an Honours programme in Economics or a minimum grade C3 (average) in Economics 2A and 2B for students taking an Honours programme in another subject.

Excluded Courses

None.

Assessment

ILO (covered)

Main Assessment In: April/May

Are reassessment opportunities available for all summative assessments? Not applicable for Honours courses

Reassessments are normally available for all courses, except those which contribute to the Honours classification. For non Honours courses, students are offered reassessment in all or any of the components of assessment if the satisfactory (threshold) grade for the overall course is not achieved at the first attempt. This is normally grade D3 for undergraduate students and grade C3 for postgraduate students. Exceptionally it may not be possible to offer reassessment of some coursework items, in which case the mark achieved at the first attempt will be counted towards the final course grade. Any such exceptions for this course are described below. 

Course Aims

This course aims to:

■ Introduce students to options, futures, swaps and other derivative instruments and their use in asset management.

■ Develop students' ability to analyse complex processes and relationships in financial markets.

■ Familiarise students with numerical and computational skills appropriate for analysing asset prices and returns.

Intended Learning Outcomes of Course

By the end of this course, students should be able to:

1. Use evidence from real life examples and relevant literature to explain what factors influence the prices of assets traded in financial markets;

2. Critically analyse and compare the derivative markets of forward, futures and options;

3. Analyse financial market situations and arguments made in a numerical or mathematical context;

4. Collaborate and work effectively in teams to analyse relevant financial data and effectively present the information to an audience.

Minimum Requirement for Award of Credits

None.