Financial Derivatives ECON4012

  • Academic Session: 2024-25
  • School: Adam Smith Business School
  • Credits: 15
  • Level: Level 4 (SCQF level 10)
  • Typically Offered: Semester 1
  • Available to Visiting Students: Yes
  • Collaborative Online International Learning: No

Short Description

This course covers options, forward contracts, futures contracts, and swaps; the concept of arbitrage; fundamental option price theorems, put-call parity; derivation of the binomial and Black-Scholes option pricing models; valuation of futures contracts; stock index, interest rate and currency futures; examples of hedging and speculation using options, futures and swaps; portfolio insurance; credit risk and interest-rate swaps; the swap spread versus the corporate-bond spread.

Timetable

Lectures: 10 x 2 hours, Thursdays 14.00-16.00

Additional 1-hour revision lecture outwith regular teaching hours

Tutorials are held at various times and can be selected on MyCampus

Requirements of Entry

University of Glasgow students must have achieved Subject Honours entry requirements as detailed below to enrol on this course. Permission is required for non-Economics students to take this course as an outside option.

 

A GPA of 12 (average C3) in Economics 2A and 2B with no course grade below D3, attained at the first attempt. A minimum grade of D3 in both ECON1012, Introductory Mathematics for Economists and ECON1013, Introductory Statistics for Economists unless exemptions were agreed on the basis of other courses taken in year 1. Refer to course specifications for details. These grades may be achieved at the second attempt.

Excluded Courses

None.

Assessment

ILO (covered)

Main Assessment In: December

Are reassessment opportunities available for all summative assessments? Not applicable for Honours courses

Reassessments are normally available for all courses, except those which contribute to the Honours classification. For non Honours courses, students are offered reassessment in all or any of the components of assessment if the satisfactory (threshold) grade for the overall course is not achieved at the first attempt. This is normally grade D3 for undergraduate students and grade C3 for postgraduate students. Exceptionally it may not be possible to offer reassessment of some coursework items, in which case the mark achieved at the first attempt will be counted towards the final course grade. Any such exceptions for this course are described below. 

 

Normally, the group-based assessment listed above cannot be reassessed.

Course Aims

This course aims to:

■ Introduce students to options, futures, swaps and other derivative instruments and their use in asset management.

■ Develop students' ability to analyse complex processes and relationships in financial markets.

■ Familiarise students with numerical and computational skills appropriate for analysing asset prices and returns.

Intended Learning Outcomes of Course

By the end of this course, students should be able to:

1. Use evidence from real life examples and relevant literature to explain what factors influence the prices of assets traded in financial markets;

2. Critically analyse and compare the derivative markets of forward, futures and options;

3. Analyse financial market situations and arguments made in a numerical or mathematical context;

4. Collaborate and work effectively in teams to analyse relevant financial data and effectively present the information to an audience.

Minimum Requirement for Award of Credits

None.