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DEGREE REGULATIONS & PROGRAMMES OF STUDY 2013/2014 -
- ARCHIVE as at 1 September 2013 for reference only
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DRPS : Course Catalogue : School of Mathematics : Mathematics

Postgraduate Course: Derivatives Markets (MATH11056)

Course Outline
SchoolSchool of Mathematics CollegeCollege of Science and Engineering
Course typeStandard AvailabilityNot available to visiting students
Credit level (Normal year taken)SCQF Level 11 (Postgraduate) Credits7.5
Home subject areaMathematics Other subject areaFinancial Mathematics
Course website None Taught in Gaelic?No
Course descriptionThis course will provide students with systematic understanding of and critical awareness of the practice of financial markets.
Entry Requirements (not applicable to Visiting Students)
Pre-requisites Co-requisites
Prohibited Combinations Other requirements MSc Financial Mathematics students only.
Additional Costs None
Course Delivery Information
Delivery period: 2013/14 Semester 1, Not available to visiting students (SS1) Learn enabled:  No Quota:  None
Web Timetable Web Timetable
Course Start Date 17/09/2013
Breakdown of Learning and Teaching activities (Further Info) Total Hours: 75 ( Lecture Hours 20, Summative Assessment Hours 1.5, Programme Level Learning and Teaching Hours 2, Directed Learning and Independent Learning Hours 51 )
Additional Notes Examination takes place at Heriot-Watt University.
Breakdown of Assessment Methods (Further Info) Written Exam 100 %, Coursework 0 %, Practical Exam 0 %
No Exam Information
Summary of Intended Learning Outcomes
On completion of this course the student should,
! understand the process and requirements of trading in derivatives contracts;
! be able to compare and contrast the features of the main derivatives contracts;
! understand the main uses of derivatives in hedging, arbitrage and speculation;
! have a critical understanding of the features, including risks, associated with derivative products;
! have a conceptual understanding of the main types of derivatives products and their usage;
! follow complex lines of reasoning and financial concepts;
! be able to calculate fair prices of forward contracts;
! demonstrate an awareness of the practical aspects involved in the trading of derivatives contracts;
! possess the knowledge required to work with derivative products in the financial industry;
! understand the features of the most common derivatives;
! have gained familiarity with the derivative products industry;
! understand the context within which market professionals work;
! be able to find problem solutions in groups;
! be able to plan and organize self-study and independent learning;
! have an awareness of the financial risks associated with derivative products;
! have the ability to accurately calculate prices;
! be able to communicate effectively problem solutions to peers.



Assessment Information
See 'Breakdown of Assessment Methods' and 'Additional Notes' above.
Special Arrangements
MSc Financial Mathematics students only.
Additional Information
Academic description Not entered
Syllabus Introduction
Forward contracts, European and American options, over-the-counter and exchange-traded derivatives
Options: basics, strategies and profit diagrams
Properties of derivative prices: forward pricing with and without dividends, put-call parity
Futures contracts
Bond and interest-rate derivatives
Exotic options
Counterparty credit risk
Transferable skills Not entered
Reading list Hull, J. C. (2005). Options, Futures and Other Derivatives, 6th edition. Prentice Hall.
Study Abroad Not Applicable
Study Pattern Not entered
KeywordsD Markets
Contacts
Course organiserDr Sotirios Sabanis
Tel: (0131 6)50 5084
Email: S.Sabanis@ed.ac.uk
Course secretaryMrs Kathryn Mcphail
Tel: (0131 6)50 4885
Email: k.mcphail@ed.ac.uk
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