ULMS Electronic Module Catalogue
The information contained in this module specification was correct at the time of publication but may be subject to change, either during the session because of unforeseen circumstances, or following review of the module at the end of the session. Queries about the module should be directed to the member of staff with responsibility for the module.
Title Derivatives
Code ACFI918
Coordinator Dr DE Avino
Finance and Accounting
D.Avino@liverpool.ac.uk
Year CATS Level Semester CATS Value
Session 2024-25 Level 7 FHEQ Second Semester 15

Pre-requisites before taking this module (other modules and/or general educational/academic requirements):
 

Modules for which this module is a pre-requisite:
 

Programme(s) (including Year of Study) to which this module is available on a required basis:
 

Programme(s) (including Year of Study) to which this module is available on an optional basis:
 

Teaching Schedule
  Lectures Seminars Tutorials Lab Practicals Fieldwork Placement Other TOTAL
Study Hours 20

 5

         25
Timetable (if known)              
Private Study 125
TOTAL HOURS 150

Assessment
EXAM Duration Timing
(Semester)		 % of
final
mark		 Resit/resubmission
opportunity		 Penalty for late
submission		 Notes
Examination. There is a resit opportunity. Standard UoL penalty applies for late submission. This is an anonymous assessment.  24    80       
CONTINUOUS Duration Timing
(Semester)		 % of
final
mark		 Resit/resubmission
opportunity		 Penalty for late
submission		 Notes
Individual assignment. There is a resit opportunity. Standard UoL penalty applies for late submission. This is an anonymous assessment.  0    20       

Aims

To provide an introduction to derivative products, namely futures and options in their many different varieties;

To examine these products from both a speculative and hedging perspective and also consider advanced strategies such as intra and inter commodity spreads for futures as well as sophisticated option strategies used, not exclusively, to trade volatility;

To examine the sensitivities of option strategies to underlying factors, namely an options "Greeks";

To consider the Black-Scholes-Merton and the Binomial approaches to option pricing;

To use Monte-Carlo simulation for the pricing of path dependent exotic options;

To develop skills in use of Excel, VBA, and Matlab.

Learning Outcomes

(LO1) Understand how futures and options are traded and priced.

(LO2) Be able to select the appropriate product to either hedge or speculate against future expected market conditions.

(LO3) Apply pricing strategies in market based situations.

(LO4) Develop trading skills using market data.

(S1) IT skills. Students will develop IT skills through data manipulation and analysis, charting in Excel, writing VBA code, 3d plots.

(S2) Problem solving. Students will develop problem solving skills during practical class sessions.

(S3) Numeracy. Students will develop numeracy skills through research problem sets.

Teaching and Learning Strategies

2 hour lecture x 10 weeks
1 hour seminar x 5 weeks
125 hours self-directed learning

Syllabus
 

Introduction to Derivatives:

The use of futures in hedging and speculation;

The use of options in hedging and speculation;

Pricing options using the binomial approach;

Pricing options using the Black-Scholes-Merton model;

Characteristics of exotic options;

Pricing Exotic options using the binomial Approach and monte-Carlo simulation;

Estimating and measure volatility;

Forecasting volatility using ARCH and GARCH models.

Recommended Texts
Reading lists are managed at readinglists.liverpool.ac.uk. Click here to access the reading lists for this module.