production
Skip to Content

FI4503: DERIVATIVES AND TREASURY MANAGEMENT (2017-2018)

Last modified: 16 Nov 2016 18:26


Course Overview

The main aim of this course is to provide students with a thorough understanding of basic derivative contracts: options, forwards, futures, swaps, interest rate derivatives, written on a variety of underlying instruments. It will introduce students to essential areas in derivatives from both theoretical and practical perspective: the pricing mechanism of derivatives and mathematical derivation of Black-Scholes model, the derivatives trading, the organization and structure of derivatives markets. The course will equip students with good analytical skills in order to be able to incorporate derivatives into asset portfolio management, use them for hedging purposes, apply different derivatives trading strategies.

Course Details

Study Type Undergraduate Level 4
Session Second Sub Session Credit Points 30 credits (15 ECTS credits)
Campus Old Aberdeen Sustained Study No
Co-ordinators
  • Dr Anh Nguyen

Qualification Prerequisites

  • Programme Level 4

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

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

  • Risk modelling
  • Futures
  • Futures and hedging
  • Pricing and regulatory issues
  • Decomposition and synthesis
  • Option pricing
  • Real options and option applications
  • Portfolio performance
  • Treasury management
  • Development of pricing models
  • Regulation and accounting for derivatives

Degree Programmes for which this Course is Prescribed

None.

Contact Teaching Time

60 hours

This is the total time spent in lectures, tutorials and other class teaching.

Teaching Breakdown


Assessment

1st Attempt
  • One 2-hour written examination (50%)
  • Two individual 2000-word coursework exercises (40%)
  • One group presentation (10%)
Resit
  • 100% by examination; there is no August resit opportunity and resit is required at the next occasion when the course is delivered, if and only if 1st time failure is not compensatable, or where failure results in insufficient level 4 credits to attain an Honours degree.

Formative Assessment

This will take place via tutorial discussions and mid -course multiple choice test. Exercises from the textbook.

Feedback

Verbal feedback is given during tutorial discussions. Answers and marks provided for the multiple choice test Answers available for textbook exercises.

Compatibility Mode

We have detected that you are have compatibility mode enabled or are using an old version of Internet Explorer. You either need to switch off compatibility mode for this site or upgrade your browser.