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DEGREE REGULATIONS & PROGRAMMES OF STUDY 2011/2012
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DRPS : Course Catalogue : Business School : Business Studies

Undergraduate Course: Futures and Options (BUST10023)

Course Outline
SchoolBusiness School CollegeCollege of Humanities and Social Science
Course typeStandard AvailabilityAvailable to all students
Credit level (Normal year taken)SCQF Level 10 (Year 3 Undergraduate) Credits20
Home subject areaBusiness Studies Other subject areaNone
Course website None Taught in Gaelic?No
Course descriptionThe course covers the market structure, use and pricing of futures and options, two key elements of financial markets. Both allow users to modify and transfer risks, take speculative positions, and develop investment strategies and the markets in which they are traded are significant elements of most advanced economies. Key questions as to their applications and pricing form a specialist area in finance. In particular, options involve the development of complex models for, pricing and monitoring their behaviour. A sub-element of the course will examine the use and pricing of interest rate and cross-currency swaps.
Entry Requirements (not applicable to Visiting Students)
Pre-requisites Students MUST have passed: Principles of Finance (BUST08003)
Co-requisites
Prohibited Combinations Other requirements None
Additional Costs None
Information for Visiting Students
Pre-requisitesVisiting students should have at least 3 Business Studies/Management courses at grade B or above (or be predicted to obtain this). We will only consider University/College level courses.
Displayed in Visiting Students Prospectus?Yes
Course Delivery Information
Delivery period: 2011/12 Semester 2, Available to all students (SV1) WebCT enabled:  Yes Quota:  None
Location Activity Description Weeks Monday Tuesday Wednesday Thursday Friday
CentralLecture1-5, 8-12 11:10 - 13:00
First Class Week 1, Monday, 11:10 - 13:00, Zone: Central. Room 3.D02, Forrest Hill
Exam Information
Exam Diet Paper Name Hours:Minutes
Main Exam Diet S2 (April/May)Futures and Options2:00
Summary of Intended Learning Outcomes
Objectives and Learning Outcomes, Knowledge and Understanding.
After completing this course, students should understand:
- the nature of derivatives;
- how arbitrage pricing works and how this sets prices in a competitive market;
- the idea of replicating portfolios or transactions;
- how futures contracts work;
- how futures are priced in a competitive market;
- the pricing of interest rate and cross-currency swaps;
- how market users make use of swaps to manage risks;
- the nature and types of options;
- option boundary conditions;
- the ways the binomial and Black-Scholes option pricing models are used to determine the fair value of a simple option;
- how to make extensions to the basic models to take account of dividends and early exercise;
- an understanding of how exotic options work;
- how to use their knowledge of arbitrage pricing methods for options and futures to undertake financial engineering;
Assessment Information
This will be a mixture of examination and assignment. The assignment is worth 40% of the course mark (2000 words). The examination represents 60% of course marks.
Special Arrangements
None
Additional Information
Academic description Not entered
Syllabus Not entered
Transferable skills Not entered
Reading list Not entered
Study Abroad Not entered
Study Pattern Not entered
KeywordsFO
Contacts
Course organiserDr Peter Moles
Tel: (0131 6)50 3795
Email: P.Moles@ed.ac.uk
Course secretaryMs Ruth Winkle
Tel: (0131 6)50 8335
Email: Ruth.Winkle@ed.ac.uk
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