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NQF credits: 14

Fourth year status‚ second semester‚ one double lecture per week.

Course Convenor : Malcolm Keswell

Entrance requirements: See admissions requirements for Honours in Economics.

Course outline:

Mechanics of derivatives markets; forwards‚ futures and options; binomial model; introduction to Black–Scholes model; interest rates; bonds; fixed income derivatives; hedging; risk; mean–variance analysis; CAPM; multi–factor models and APT; SDF and equity premium; asymmetric information and limits to arbitrage.

DP requirements: None.

Assessment: Assignments‚ tests and examination count for 100%.

Last updated : 15 Jul 2015



Staff Members on this course :

A/Prof Malcolm Keswell Associate Professor

021 650 4876
Malcolm.Keswell@uct.ac.za
5.19, The School of Economics, New Building, Middle Campus.
View Staff Profile

Research Area / Interest :
Applied microeconomics ;the dynamics of inequality;agrarian contractual structure and productivity; group-level effects on individual incentives.







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