Subject details

On successful completion of this subject you will:

  • CLO1: Evaluate financial products and the markets in which they trade, including Futures and forwards, Equity options, swaps, and other derivatives, Commodities, Currencies, Corporate bonds and interest rates.
  • CLO2: Consider arbitrage arguments and hedging related to derivative products and fair value evaluation using a variety of advanced financial analysis techniques. 
  • CLO3: Appraise how Derivative Synthetics Position are created, and the application of equity derivatives (Equity Options, Stock Index Futures, Equity Swap), Currency Derivatives, Interest Rate Derivatives, Credit Derivatives and Commodities, for Trading, Hedging and Arbitrage Transactions.
  • CLO4: Evaluate the use of derivative products for portfolio management and risk mitigation such as portfolio insurance and dynamic delta hedging and how various Hedge Ratios are calculated and applied. 
  • CLO5: Argue how derivative instruments can be used in Credit Risk Management and the building of complex structured products such as Equity Linked Notes, Exotic Options, e.g. Asian Options, Knock Out Options, Look back option. Create a global arbitrage position with the SPX combos.

  • Topics

    • Review of Derivatives
    • Futures and Forward
    • Interest Rate Markets
    • Swaps
    • Options
    • Using Derivatives in Portfolio Management
    • Introduction to Binomial Trees
    • Executive Stock Options and Options on Stock Indices, Currencies and Futures
    • Greek Letters
    • Credit Risk
    • Credit Derivatives
    • Derivatives Mishaps and Review

  • Study resources

    • Instructional Methods

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

    • Online Materials

      • Printable format materials
      • Online Assessment

No eligibility requirements

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.

  • Assignment 1 - Research Proposal (Linked CLOs: 1 - 5) (20%)
  • Assignment 2 - Research Report (Linked CLOs: 1 - 5) (30%)
  • Assignment 3 - Invigilated Final Exam (Linked CLOs: 1 - 5) (50%)

Textbooks are subject to change within the academic year. Students are advised to purchase their books no earlier than one to two months before the start of a subject.

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Related degrees

Postgraduate

Master of Finance