IC301-Derivative Securities/Trading Simulation III

Module Provider: ICMA Centre
Number of credits: 20 [10 ECTS credits]
Level:6
Terms in which taught: Autumn term module
Pre-requisites: IC102 Introductory Finance/Trading Simulation I
Non-modular pre-requisites:
Co-requisites:
Modules excluded:
Current from: 2019/0

Module Convenor: Mr David Knapp

Email: d.knapp@reading.ac.uk

Type of module:

Summary module description:

This module is designed to combine theoretical and practical approaches to derivatives. The objectives of the module are the following: first, to give students an overview of the main derivative securities and markets; second, to provide an understanding of derivatives pricing; third, to give an overview of hedging and trading strategies; and fourth, to show how to apply theoretical models and strategies presented in class through exercises, examples and case studies.


Aims:

This module is designed to combine theoretical and practical approaches to derivatives. The objectives of the module are the following: first, to give students an overview of the main derivative securities and markets; second, to provide an understanding of derivatives pricing; third, to give an overview of hedging and trading strategies; and fourth, to show how to apply theoretical models and strategies presented in class through exercises, examples and case studies.



 



 


Assessable learning outcomes:

By the end of the module, students will be able to: describe and characterize derivatives and their markets; evaluate and apply pricing, hedging and trading methods; construct simple spreadsheets for derivatives pricing, hedging and trading.


Additional outcomes:

Outline content:

Topic 1: Introduction to the forward and futures markets



Topic 2: Forward and futures prices and hedging strategies



Topic 3: Interest rate futures



Topic 4: Bond futures



Topic 5: Interest rate swaps



Topic 6: Credit derivatives



Topic 7: Option markets and trading strategies



Topic 8: Introduction to option pricing



Topic 9: Options on stock indices, currencies and futures



Topic10: Introduction to Exotic options, ETFs and CFDs


Brief description of teaching and learning methods:

A combination of lectures and hands on seminars. During the seminars, students are guided through the solutions to the relevant pricing, hedging and trading exercises. Handouts are provided.


Contact hours:
  Autumn Spring Summer
Lectures 20
Seminars 10
Practicals classes and workshops 8
Guided independent study:      
    Wider reading (independent) 86
    Exam revision/preparation 60
    Preparation for seminars 16
       
Total hours by term 200 0 0
       
Total hours for module 200

Summative Assessment Methods:
Method Percentage
Written exam 80
Class test administered by School 20

Summative assessment- Examinations:

1.5 hour class test – 20 multiple choice questions



1.5 hour unseen written paper


Summative assessment- Coursework and in-class tests:

Formative assessment methods:

Penalties for late submission:
The Module Convener will apply the following penalties for work submitted late:

  • where the piece of work is submitted after the original deadline (or any formally agreed extension to the deadline): 10% of the total marks available for that piece of work will be deducted from the mark for each working day[1] (or part thereof) following the deadline up to a total of five working days;
  • where the piece of work is submitted more than five working days after the original deadline (or any formally agreed extension to the deadline): a mark of zero will be recorded.

  • The University policy statement on penalties for late submission can be found at: http://www.reading.ac.uk/web/FILES/qualitysupport/penaltiesforlatesubmission.pdf
    You are strongly advised to ensure that coursework is submitted by the relevant deadline. You should note that it is advisable to submit work in an unfinished state rather than to fail to submit any work.

    Assessment requirements for a pass:
    A minimum mark of 40%.

    Reassessment arrangements:

    Re-sits in summer term


    Additional Costs (specified where applicable):

    1) Required text books: £30- £55 2) Specialist equipment or materials: 3) Specialist clothing, footwear or headgear: 4) Printing and binding: 5) Computers and devices with a particular specification: 6) Travel, accommodation and subsistence:


    Last updated: 8 April 2019

    THE INFORMATION CONTAINED IN THIS MODULE DESCRIPTION DOES NOT FORM ANY PART OF A STUDENT'S CONTRACT.

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