Options and Futures
Essex Business School
Undergraduate: Level 6
Thursday 05 October 2023
Friday 15 December 2023
23 June 2023
Requisites for this module
BE311 and BE313
BSC N420 Accounting and Finance,
BSC N422 Accounting and Finance (Including Placement Year),
BSC NN43 Accounting and Finance (Including Foundation Year),
BSC NNK3 Accounting and Finance (Including Year Abroad),
MACCN440 Accounting and Finance,
MACCN441 Accounting and Finance (Including Placement Year),
MACCN442 Accounting and Finance (Including Year Abroad),
BSC N390 Banking and Finance,
BSC N391 Banking and Finance (Including Foundation Year),
BSC N392 Banking and Finance (Including Placement Year),
BSC NH90 Banking and Finance (Including Year Abroad),
BSC N300 Finance,
BSC N301 Finance (Including Foundation Year),
BSC N302 Finance (Including Year Abroad),
BSC N304 Finance (Including Placement Year),
BSC N344 Finance and Management,
BSC N345 Finance and Management (Including Year Abroad),
BSC N346 Finance and Management (Including Placement Year),
BSC N347 Finance and Management (Including Foundation Year),
BSC N355 International Business and Finance,
BSC N356 International Business and Finance (Including Placement Year),
BSC N357 International Business and Finance (Including Year Abroad),
BSC N358 International Business and Finance (Including Foundation Year),
BSC N358CO International Business and Finance (Including Foundation Year)
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 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.
By the end of this module, students will be expected to 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
- 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)
- 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.
- 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.
No additional information available.
This module will be delivered via:
- One 2-hour lecture per week.
- One workshop per week.
- 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
||Main exam: In-Person, Open Book, 120 minutes during Summer (Main Period)
||Reassessment Main exam: In-Person, Open Book, 120 minutes during September (Reassessment Period)
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.
Module supervisor and teaching staff
Dr Cheng Yan, email: firstname.lastname@example.org.
Dr Cheng Yan & Dr Jiahua Zhu
Dr Jaideep Oberoi
SOAS University of London
Senior Lecturer in Finance
Available via Moodle
Of 103 hours, 97 (94.2%) hours available to students:
5 hours not recorded due to service coverage or fault;
1 hours not recorded due to opt-out by lecturer(s), module, or event type.
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