| Unit name | Derivatives |
|---|---|
| Unit code | ACFIM0027 |
| Credit points | 20 |
| Level of study | M/7 |
| Teaching block(s) |
Teaching Block 2 (weeks 13 - 24) |
| Unit director | Professor. Nick Taylor |
| Open unit status | Not open |
| Units you must take before you take this one (pre-requisite units) |
None |
| Units you must take alongside this one (co-requisite units) |
None |
| Units you may not take alongside this one |
None |
| School/department | School of Accounting and Finance - Business School |
| Faculty | Faculty of Social Sciences and Law |
Why is this unit important?
The derivatives market is perhaps the most important asset class. Even in a single day, on one exchange and market, trading volumes are huge. Understanding how these complex instruments are priced is important for understanding how risk can be managed. By studying this unit, you will acquire mathematical and analytical tools and problem-solving skills, which will be applicable in a wide range of disciplines and real-world situations. Moreover, knowledge of derivatives can open opportunities for further education and careers in fields that rely on mathematical modelling and analysis. Studying derivatives is also intellectually satisfying and can improve your ability to think critically and to solve complex problems.
How does this unit fit into your programme of study?
The unit complements other units on the degree. While derivatives will be introduced in core units, this unit will introduce further material and more challenging problems to deepen understanding. Moreover, as the unit is also available in MSc degrees in which derivatives has not been previously covered, a first principle thinking approach is adopted to promote inclusion.
An overview of content
The unit will be divided into three sections, each covering a particular type of derivative. The sections will cover forwards and futures, swaps, and options. The bulk of content will be contained in the final section such that an in-depth analysis of options will be undertaken.
How will students, personally, be different as a result of the unit
A deep understanding of derivatives will be obtained, together with a set of analytic tools and problem-solving skills. These will be applicable in a wide range of disciplines and real-world situations.
Learning Outcomes
On completion of this unit students should be able to (inter alia):
1. Analyse how financial derivatives are valued, and explain how these instruments can be used to implement risk management strategies.
2. Critically discuss the practical usefulness of the Black-Scholes-Merton option pricing model.
3. Appreciate the latest developments in derivative modelling and understand the latest problems in pricing complex derivatives.
How you will learn
Teaching will be delivered through a combination of synchronous and asynchronous sessions including lectures, tutorials, drop-in advice and feedback sessions, and other online learning opportunities. The main lectures will contain descriptions of methodologies and simplified examples to enhance applied and problem-solving skills. These will be enhanced through exercise lectures and small class tutorials. A case study lecture will help bridge the gap from the highly simplifies examples covered in lectures and tutorials to detailed applications of methodologies encountered in industry.
Tasks which help you learn and prepare you for summative tasks (formative):
Formative assessment will consist of four tutorials, four class tests, and a test associated with a case study. Feedback will be provided in each of these. The tutorials will consist of a set of discussive and numerical questions, with solutions provided during each class. Students will be encouraged to complete the tasks prior to the tutorial so that the tutorial itself can be feedback focused. The class tests will be closed book, each consisting of a set of questions that are similar in nature to those on the final examination. These tests will take place in the first hour of the exercise lecture, with the solutions discussed in the second hour. Feedback is provided via peer marking. A final test will be based on a case study. The case study is intended to bridge the gap between the simplified applications discussed in the lectures and a real-world application of derivatives knowledge. The test will be one hour in duration and will take place in the exercise class, with the second hour used for peer-based marking/feedback.
Tasks which count towards your unit mark (summative):
This unit will be assessed by 100% closed-book exam (2 hours) covering ILO1, ILO2 and ILO3.
When assessment does not go to plan
When a student fails the unit and is eligible to resubmit, failed components will be reassessed on a like-for-like basis.
If this unit has a Resource List, you will normally find a link to it in the Blackboard area for the unit. Sometimes there will be a separate link for each weekly topic.
If you are unable to access a list through Blackboard, you can also find it via the Resource Lists homepage. Search for the list by the unit name or code (e.g. ACFIM0027).
How much time the unit requires
Each credit equates to 10 hours of total student input. For example a 20 credit unit will take you 200 hours
of study to complete. Your total learning time is made up of contact time, directed learning tasks,
independent learning and assessment activity.
See the University Workload statement relating to this unit for more information.
Assessment
The assessment methods listed in this unit specification are designed to enable students to demonstrate the named learning outcomes (LOs). Where a disability prevents a student from undertaking a specific method of assessment, schools will make reasonable adjustments to support a student to demonstrate the LO by an alternative method or with additional resources.
The Board of Examiners will consider all cases where students have failed or not completed the assessments required for credit.
The Board considers each student's outcomes across all the units which contribute to each year's programme of study. For appropriate assessments, if you have self-certificated your absence, you will normally be required to complete it the next time it runs (for assessments at the end of TB1 and TB2 this is usually in the next re-assessment period).
The Board of Examiners will take into account any exceptional circumstances and operates
within the Regulations and Code of Practice for Taught Programmes.
