NBS8333 : Financial Derivatives
- Offered for Year: 2024/25
- Module Leader(s): Dr Xiaojing Song
- Lecturer: Dr Minh Nguyen
- Owning School: Newcastle University Business School
- Teaching Location: Newcastle City Campus
Semesters
Your programme is made up of credits, the total differs on programme to programme.
| Semester 1 Credit Value: | 10 |
| Semester 2 Credit Value: | 10 |
| ECTS Credits: | 10.0 |
| European Credit Transfer System | |
Aims
This module aims to provide students with a detailed understanding of options, futures, and other financial derivatives. Skills will be developed in basic pricing analysis, use of pricing models, and trading and hedging strategies.
Outline Of Syllabus
Semester 1 -
1 Introduction to module and derivatives
2 Futures and a revision of some statistical concepts
3 Hedging with Futures. Interest Rates
4 Futures and Forward pricing. Interest Rate Futures
5 Swaps. Introduction to Options
6 Stock options. Option Strategies.
7 Binomial option pricing
Semester 2 -
8 Options and the Black-Scholes-Merton Model
9 The Greeks and Volatility Smiles
10 Value at Risk
11 Credit Risk
12 Credit Derivatives
13 Current topic in Financial Derivatives
14 Course Overview and Revision
Teaching Methods
Teaching Activities
| Category | Activity | Number | Length | Student Hours | Comment |
|---|---|---|---|---|---|
| Scheduled Learning And Teaching Activities | Lecture | 14 | 2:00 | 28:00 | PIP sessions |
| Guided Independent Study | Assessment preparation and completion | 1 | 60:00 | 60:00 | N/A |
| Scheduled Learning And Teaching Activities | Small group teaching | 6 | 1:00 | 6:00 | Online Zoom |
| Scheduled Learning And Teaching Activities | Workshops | 2 | 1:00 | 2:00 | Online whole cohort Q&A |
| Guided Independent Study | Independent study | 1 | 104:00 | 104:00 | N/A |
| Total | 200:00 |
Teaching Rationale And Relationship
• Lectures materials provide the basic structure of the methods and theories that are introduced and an overview of the current issues.
• Seminars provide an opportunity to enhance understanding of the theoretical aspects of the module.
Assessment Methods
The format of resits will be determined by the Board of Examiners
Exams
| Description | Length | Semester | When Set | Percentage | Comment |
|---|---|---|---|---|---|
| Written Examination | 120 | 2 | A | 70 | N/A |
Other Assessment
| Description | Semester | When Set | Percentage | Comment |
|---|---|---|---|---|
| Essay | 1 | M | 30 | 6000 word group assessment. |
Formative Assessments
Formative Assessment is an assessment which develops your skills in being assessed, allows for you to receive feedback, and prepares you for being assessed. However, it does not count to your final mark.
| Description | Semester | When Set | Comment |
|---|---|---|---|
| Prob solv exercises | 1 | M | Seminar questions provided |
| Prob solv exercises | 2 | M | Seminar questions provided |
Assessment Rationale And Relationship
The assessment tests understanding of the theoretical and current issues.
In the case of an alternative semester 1 assessment (worth 30% of the overall module mark) being necessary due to circumstances, the module leader will in the first instance consult with the DPD as to the requirements of the professional accrediting body to discuss possible acceptable alternatives.
Reading Lists
Timetable
- Timetable Website: www.ncl.ac.uk/timetable/
- NBS8333's Timetable