Futures and Options

Learning Outcomes

Transferable and Generic Skills

Having successfully completed this module you will be able to:

• enhance quantitative skills.
• identify appropriate techniques and apply them to particular problems;
• solve problems with respect to financial derivatives;

Subject Specific Intellectual and Research Skills

Having successfully completed this module you will be able to:

• explain and apply trading/hedging strategies using futures and options.
• differentiate among different types of derivative products;
• price forwards, futures and options using suitable models and techniques;

Knowledge and Understanding

Having successfully completed this module, you will be able to demonstrate knowledge and understanding of:

• how financial derivatives are valued, based on the no-arbitrage and risk-neutral valuation approaches;
• the concepts and market mechanics of different types of financial derivatives;
• how these instruments can be used to implement risk management strategies.

• Introduction to Forwards, Futures and Options.
• Hedging with Forwards and Futures.
• Pricing of Forward and Futures.
• Mechanics of Options Markets.
• Stock Option Trading Strategies.
• Mathematics of Options Pricing.
• Stochastic Processes and Ito's Lemma.
• The Black-Scholes-Merton Model.
• Dynamic Hedging and Risk Management with Options.

This module will last one semester. It consists of about 34 sessions of 45 minutes each. These will be divided into about 24 lectures and 10 classes.

Formative

This is how we’ll give you feedback as you are learning. It is not a formal test or exam.

Class discussions

• Assessment Type: Formative
• Feedback: Formative feedback will be given during classes, lectures and in-person during the office hours or via e-mail when appropriate
• Final Assessment: No
• Group Work: No

In-class activities

• Assessment Type: Formative
• Feedback: Solutions to Multiple-choice will be given in each session and feedback on answers will be discussed in class. Numerical and theoretical exercises will be given out before hand and discussed in each seminar. Feedback will be given by the seminar teacher. You are also welcome to ask for further feedback during the feedback and advice hours.
• Final Assessment: No
• Group Work: No

Summative

This is how we’ll formally assess what you have learned in this module.

Referral

This is how we’ll assess you if you don’t meet the criteria to pass this module.

Repeat

An internal repeat is where you take all of your modules again, including any you passed. An external repeat is where you only re-take the modules you failed.