BE332-6-AP-CO:
Options and Futures

The details
2019/20
Essex Business School
Colchester Campus
Autumn & Spring
Undergraduate: Level 6
Current
Thursday 03 October 2019
Friday 20 March 2020
15
08 November 2019

 

Requisites for this module
(none)
(none)
(none)
(none)

 

BE331, BE631

Key module for

BSC N420JS Accounting and Finance,
BSC N390JS Banking and Finance

Module description

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.

Module aims

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.

Module learning outcomes

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.

Module information

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.

Learning and teaching methods

The module material will be delivered in the following way: * 2 hours of lectures per week; * Weekly workshops.

Bibliography

  • 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.

Overall assessment

Coursework Exam
30% 0%

Reassessment

Coursework Exam
30% 70%
Module supervisor and teaching staff
Thanos Verousis and Cheng Yan
E: ebsugcol@essex.ac.uk

 

Availability
No
No
No

External examiner

No external examiner information available for this module.
Resources
Available via Moodle
No lecture recording information available for this module.

 

Further information
Essex Business School

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