Subject details

On successful completion of this subject you will:

CLO1: Explain and evaluate various over-the-counter and exchange-traded derivatives and their market mechanics.
CLO2: Use arbitrage arguments in fair value estimation and designing hedging with derivative products.

CLO3: Compare and contrast the relative strengths and weaknesses of option pricing models and analyse common strategies involved in trading options.

CLO4: Apply derivative products to portfolio management and risk mitigation.

CLO5: Appraise how risk in quantified by banks and other institutions

    • Introduction
    • Forward and Futures Markets
    • Forwards and Futures Pricing Principles
    • Hedging with Forward and Futures Contracts
    • Option Markets and Pricing – Part A
    • Option Markets and Pricing – Part B
    • Options Trading Strategies
    • Advanced Option Trading Strategies
    • Value at Risk
    • Swaps – Part A
    • Swaps – Part B
  • Study resources

    • Instructional methods

      • Discussion forum/Discussion Board
      • Online assignment submission
      • Online Quizzes/Tests
    • Online materials

      • Printable format materials
      • Online Assessment

In order to enrol in this subject, you must be accepted into one of the following degrees:

  • RMI-MFC-MAS-2019

Special requirements

No special requirements

This subject was previously known as Risk Management and Financial Engineering.

This subject provides a detailed understanding of how derivative instruments are used to enhance returns and manage risks. The subject is practically oriented, encompassing quantitative theoretical developments, the application of pricing to the business environment, and the development of quantitative financial skills. Students will explore innovative financial products and financial processes in equities, currencies, interest rates and commodities along with complex risk management tools.

  • Test (Linked CLOs: 1 - 5) (20%%)
  • Assignment (Linked CLOs: 2, 3, 4) (40%%)
  • Invigilated Exam (Linked CLOs: 1 - 5) (40%%)

Textbook information is pending.

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