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NQF credits: 14

Fourth year status‚ first /second course‚ two lectures per week.

Course co–ordinator: Professor H Abraham.

Entrance requirements: Graduate.

Course outline:

(a) Characteristics of derivative contracts. 

The mechanics of derivative markets. 

Uses of derivatives. 

Valuation of derivative contracts.

Mathematics of derivatives. 

Forward and futures contracts. 

Option valuation models and determinants. 

Drivers of option valuation.

Put–Call Parity.

Option sensitivity analysis.

Swaps and Swap Options – Equity/ Interest/ Currency 

(b) Advanced derivative strategies. 

Determining hedge ratios on equity‚ interest and currency futures. 

Option Payoffs and strategies. 

c) Monitoring and controlling a derivative trading desk. 

DP requirements: N/A.

Assessment:

Examination 75%

Tests/Projects 15%

Tutorials 10%

Last updated : 18 Jun 2014





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