NQF credits: 14
Fourth year status‚ first /second course‚ two lectures per week.
Course co–ordinator: Professor H Abraham.
Entrance requirements: Graduate.
(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.
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.
Last updated : 18 Jun 2014