Option (finance minor)
6
6 ECTS
Spring
EC150 Mathematics, EC170 Statistics
EC470
Amer Demirovic
2017
The underlying principles: time value of money, risk-return, systematic vs. idiosyncratic risks, risk neutral valuation
Random behaviour of asset prices: statistical analysis of asset prices
Fixed income securities: loans and bonds
Equity securities: stocks, indices
Derivative securities: forwards and stock options
Properties of stock options
Valuing the options in discrete time: binomial trees
Valuing the options in continuous time: Black-Scholes-Merton
Credit risk and credit derivatives
Real options and other application of finance tools in business and economics
| Type | Number per Term | Duration | Total Time |
|---|---|---|---|
|
Lectures |
15 | 1.5 | 22.5 |
|
Workshops |
5 | 1.5 | 7.5 |
|
Seminars |
5 | 1.5 | 7.5 |
| Tutorials | 5 | 1.5 | 7.5 |
|
Total Contact Hours |
45.0 | ||
|
Total Guided/Independent Learning Hours |
105.0 | ||
| Total Engagement Hours | 150.0 | ||
| Type | Number Required | Duration / Length | Weighting | Timing / Submission Deadline |
|---|---|---|---|---|
|
Mid-semester test |
1 |
2 hours |
20% |
Week 8 |
|
Group investment report Presentation |
1 |
2,000 words
20 minutes |
20%
10% |
Week 15 |
|
Final Exam |
1 |
3 hours |
50% |
Week 17 |
Intended Learning Outcomes:
A systemic understanding of finance principles and theories underlying the valuation of financial instruments
Ability to accurately apply finance theories to estimate the value of assets
Critical understanding of uncertainty in finance and business
Ability to apply finance theories to other disciplines and problems.
Teaching and Learning Strategy:
Lectures (ILO: 1-4)
Workshops (ILO: 1-4)
In-class problem solving (ILO: 2)
Assessment Strategy:
Midterm exam and test (ILO: 1-2)
Final exam (ILO: 1-4)
Group investment report (ILO: 2-3)
Practical Skills:
Interpret market data
Evaluate prices of financial instruments and physical assets
Use finance models in everyday business
Teaching and Learning Strategy:
Lectures (PS: 1-3)
In class problem solving (PS: 1-3)
Assessment Strategy:
Lectures (PS: 1-3)
Workshops (PS: 1-3)
Group investment report (ILO: 2-3)
Transferable Skills:
Research Skills
Numerical Skills
IT Skills
Communication Skills
Teaching and Learning Strategy:
Assessment Strategy:
Tests and exams (TS: 2)
Group investment report (TS: 1, 4)
Workshops (TS: 3)
Set text
Hull J. (2014), Fundamentals of Futures and Options Markets, Global Edition, 8th Edition, Pearson
Supplementary Materials
Arnold, G., (2015), FT Guide to Bonds and Money Markets, Financial Times
De Rosa, D., (2011), Options on Foreign Exchange, 3 Edition, John Wiley & Sons
Fabozzi, F.J., (2015), Capital Markets: Institutions, Instruments, and Risk Management, The MIT Press
Parameswaren, S., (2011), Fundamentals of Financial Instruments: An Introduction to Stocks, Bonds, Foreign Exchange and Derivatives, John Wiley & Sons
Steiner, B., (2012), Mastering Financial Calculations: A step-by-step guide to the mathematics of financial market instruments, FT Press
Taylor, F., (2010), Mastering Derivatives Markets: A Step-by-Step Guide to the Products, Applications and Risks, FT Press
Institutional Investor Journals (2017) The Journal of Derivatives, http://www.iijournals.com/toc/jod/current
Please note
This specification provides a concise summary of the main features of the module and the learning outcomes that a typical student might reasonably be expected to achieve and demonstrate if he/she takes full advantage of the learning opportunities that are provided.
More detailed information on the learning outcomes, content and teaching, learning and assessment methods of each module and programme can be found in the departmental or programme handbook.
The accuracy of the information contained in this document is reviewed annually by the University of Buckingham and may be checked by the Quality Assurance Agency.
Date of Production : January 2017
Date approved by School Learning and Teaching Committee:
Date approved by School Board of Study :
Date approved by University Learning and Teaching Committee:
Date of Annual Review:
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