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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
Credit level (Normal year taken)SCQF Level 11 (Postgraduate) AvailabilityNot available to visiting students
SCQF Credits7.5 ECTS Credits3.75
SummaryThis course will provide students with systematic understanding of and critical awareness of the practice of financial markets.

This course is delivered by Heriot Watt University and is only available to students on the MSc Financial Mathematics programme.
Course description 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
Entry Requirements (not applicable to Visiting Students)
Pre-requisites Co-requisites
Prohibited Combinations Other requirements MSc Financial Mathematics students only.
Course Delivery Information
Academic year 2017/18, Not available to visiting students (SS1) Quota:  None
Course Start Semester 1
Timetable Timetable
Learning and Teaching activities (Further Info) Total Hours: 75 ( Lecture Hours 20, Summative Assessment Hours 1, Programme Level Learning and Teaching Hours 2, Directed Learning and Independent Learning Hours 52 )
Additional Information (Learning and Teaching) Examination takes place at Heriot-Watt University.
Assessment (Further Info) Written Exam 100 %, Coursework 0 %, Practical Exam 0 %
Additional Information (Assessment) See 'Breakdown of Assessment Methods' and 'Additional Notes' above.
Feedback Not entered
Exam Information
Exam Diet Paper Name Hours & Minutes
Main Exam Diet S2 (April/May)Derivatives Markets and Derivative Pricing & Financial Modelling3:00
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.

Reading List
Hull, J. C. (2005). Options, Futures and Other Derivatives, 6th edition. Prentice Hall.
Additional Information
Graduate Attributes and Skills Not entered
Course organiserDr David Siska
Tel: (0131 6)51 9091
Course secretaryMs Hannah Burley
Tel: (0131 6)50 4885
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