Overview

Introduction to financial derivatives, option strategies, structured products, option pricing (binomial model and Black-Scholes), greeks, volatility trading, swaps, and interest rate risk and management.

Assessment Strategy

-threshold -D- to D+ (40-49%): No major omissions or inaccuracies in the deployment of information/skills. Some grasp of theoretical/conceptual/practical elements. Integration of theory/practice/information present intermittently in pursuit of the assessed work's objectives.

-good -B- to B+ (60-69%): Very good performance Most of the relevant information accurately deployed. Good grasp of theoretical/conceptual/practical elements. Good integration of theory/practice/information in pursuit of the assessed work's objectives. Evidence of the use of creative and reflective skills.

-excellent -A- to A+ (70%+): Outstanding Performance. The relevant information accurately deployed. Excellent grasp of theoretical/conceptual/practice elements. Good integration of theory/practice/information in pursuit of the assessed work's objectives. Strong evidence of the use of creative and reflective skills.

-another level-C- to C+ (50-59%): Much of the relevant information and skills mostly accurately deployed. Adequate grasp of theoretical/conceptual/practical elements. Fair integration of theory/practice/information in the pursuit of the assessed work's objectives. Some evidence of the use of creative and reflective skills.

Learning Outcomes

• Comprehend and analyse the role of stochastic modelling in derivative pricing

• Demonstrate a broad understanding of the role of swaps in managing interest rate risks

• Develop and evaluate option and swap strategies for specific market risk problems

• Evaluate the role of derivatives in market risk analytics and in strategic decision making

• Perform a detailed assessment of how to create hedging and speculating strategies depending on the risk preferences of the firm and economic climate