BE332-6-FY-KS:
Options and Futures
2020/21
Essex Business School
Kaplan Singapore
Full Year
Undergraduate: Level 6
Current
Thursday 08 October 2020
Friday 02 July 2021
15
03 June 2020
Requisites for this module
(none)
(none)
(none)
(none)
BE331, BE631
BSC N420JS Accounting and Finance,
BSC N420NS Accounting and Finance,
BSC N390JS Banking and Finance,
BSC N390NS Banking and Finance
This is an introductory module on options and futures, with five weeks allocated to each. For both halves of the module, we start off by defining the respective derivative contract, continue on to examining in detail how it is traded and then delve into its pricing and risk management/trading applications. The module is highly quantitative, with a total of nine weekly classes intended to go over a large quantity of numerical problems.
The primary aim of this module is to give the students a good basic understanding of option, forward and futures contracts. Derivatives’ payoffs, their pricing and their uses in hedging will be main focus.
On successful completion of the module, students will be able to:
- Describe futures and options contracts with precision
- Place within the context of credit risk mitigation the mechanics of how futures and
options markets operate
- Identify an appropriate futures or options-based strategy to fulfill an investment
objective
- Determine equilibrium futures contract prices
- Use binomial trees and the Black-Scholes model to price options.
- Quantify and manage portfolio risk exposure using option deltas.
Skills for Your Professional Life (Transferable Skills)
Upon successful completion of the module, students should be able to:
- Develop effective hedging strategies for a variety of business contexts such as receipt of income in foreign currency, fixing raw material/fuel costs, foreign acquisitions, etc.
- Develop effective and efficient derivatives-based trading strategies that suit a wide variety of investment views.
- Be able to quantify risks associated with derivatives positions, report these professionally and comment on them.
- Be able to price options and anticipate how option prices will react when the underlying parameters change in the market.
The module material will be delivered in the following way:
* 2 hours of lectures per week;
* Weekly workshops.
- Hull, John. (2018) Options, futures, and other derivatives, New York: Pearson Education.
The above list is indicative of the essential reading for the course. The library makes provision for all reading list items, with digital provision where possible, and these resources are shared between students. Further reading can be obtained from this module's reading list.
Assessment items, weightings and deadlines
| Coursework / exam |
Description |
Deadline |
Coursework weighting |
Exam format definitions
- Remote, open book: Your exam will take place remotely via an online learning platform. You may refer to any physical or electronic materials during the exam.
- In-person, open book: Your exam will take place on campus under invigilation. You may refer to any physical materials such as paper study notes or a textbook during the exam. Electronic devices may not be used in the exam.
- In-person, open book (restricted): The exam will take place on campus under invigilation. You may refer only to specific physical materials such as a named textbook during the exam. Permitted materials will be specified by your department. Electronic devices may not be used in the exam.
- In-person, closed book: The exam will take place on campus under invigilation. You may not refer to any physical materials or electronic devices during the exam. There may be times when a paper dictionary,
for example, may be permitted in an otherwise closed book exam. Any exceptions will be specified by your department.
Your department will provide further guidance before your exams.
Overall assessment
Reassessment
Module supervisor and teaching staff
Dr Cheng Yan, email: cheng.yan@essex.ac.uk.
Cheng Yan & Luiz Vitiello
E: ebsugcol@essex.ac.uk
No
No
No
No external examiner information available for this module.
Available via Moodle
No lecture recording information available for this module.
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