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IB502M: DERIVATIVES AND RISK MANAGEMENT (2022-2023)

Last modified: 14 Jun 2023 10:16


Course Overview

In this course we will study basic derivatives contracts: forwards, futures, options and swaps, written on a variety of underlying instruments. We will also investigate interest rate and credit derivatives that will introduce you to a broader world of more complex derivatives products. This course will provide you with an introduction to essential areas in derivatives from both a theoretical and a practical perspective. The theoretical aspect will cover the pricing mechanism of forwards, options and swaps, the construction of Binomial tree model as well as the underpinnings of the Black-Scholes model. The practical aspect will focus on the derivatives trading, the organisation and structure of derivatives markets and hedging with derivatives as well as their role is risk management. The course will equip you with rigorous analytical skills in order to be able to conduct a broad quantitative analysis in the area of derivatives with the use of Excel spreadsheets.

Course Details

Study Type Postgraduate Level 5
Term First Term Credit Points 15 credits (7.5 ECTS credits)
Campus Aberdeen Sustained Study No
Co-ordinators
  • Dr Paul-Olivier Klein

What courses & programmes must have been taken before this course?

  • Any Postgraduate Programme (Studied)

What other courses must be taken with this course?

None.

What courses cannot be taken with this course?

None.

Are there a limited number of places available?

No

Course Description

In this course we will study basic derivatives contracts: forwards, futures, options and swaps, written on a variety of underlying instruments. We will also investigate interest rate and credit derivatives that will introduce you to a broader world of more complex derivatives products. This course will provide you with an introduction to essential areas in derivatives from both a theoretical and a practical perspective. The theoretical aspect will cover the pricing mechanism of forwards, options and swaps, the construction of Binomial tree model as well as the underpinnings of the Black-Scholes model. The practical aspect will focus on the derivatives trading, the organisation and structure of derivatives markets and hedging with derivatives as well as their role is risk management. The course will equip you with rigorous analytical skills in order to be able to conduct a broad quantitative analysis in the area of derivatives with the use of Excel spreadsheets.


Details, including assessments, may be subject to change until 30 August 2024 for 1st term courses and 20 December 2024 for 2nd term courses.

Summative Assessments

Essay

Assessment Type Summative Weighting 30
Assessment Weeks Feedback Weeks

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Feedback Word Count 2000
Learning Outcomes
Knowledge LevelThinking SkillOutcome
Sorry, we don't have this information available just now. Please check the course guide on MyAberdeen or with the Course Coordinator

Report: Individual

Assessment Type Summative Weighting 70
Assessment Weeks Feedback Weeks

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Feedback
Learning Outcomes
Knowledge LevelThinking SkillOutcome
Sorry, we don't have this information available just now. Please check the course guide on MyAberdeen or with the Course Coordinator

Formative Assessment

There are no assessments for this course.

Course Learning Outcomes

Knowledge LevelThinking SkillOutcome
FactualRememberILO’s for this course are available in the course guide.

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