Financial Markets and Asset Pricing

Financial Markets and Asset Pricing

Year: 2018-2019
Course code: ECON4012
Course credits: 15
Taught: Semester 1  
Course co-ordinatorDr Ankush Agarwal
Course lecturers: Dr Ankush Agarwal
Entry requirements: Normally admission to an honours programme in Economics.
Available to visiting students:Yes
Contact for more informationGillian Weir

Course 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.

Learning and teaching methods

20 hours of lectures (10 x 2 hours), Thursday, 14:00-16:00, and 4 1-hour tutorials (held fortnightly at varying times).

Course texts

Hull, J., (2011). Fundamentals of futures and options markets, Pearson/Prentice Hall

Other useful texts:

Bodie, Z., Kane, A., and Markus A., (2009). Investment, McGraw-Hill. BKM
Chance, D., (2008). An introduction to derivatives and risk management, 7th Edition, South-Western
Dubofsky, D.A. and Miller, T.W., (2002). Derivatives : valuation and risk management, Oxford University Press. DM
Hull, J., (2009). Options, futures and other derivatives, Pearson/Prentice Hall


An in-course assignment (30%)
A 2-hour degree exam (April/May) (70%)