IC301-Derivative Securities/Trading Simulation III

Module Provider: ICMA Centre
Number of credits: 20 [10 ECTS credits]
Level:6
Terms in which taught: Autumn term module
Pre-requisites: IC102 Introductory Finance/Trading Simulation I
Non-modular pre-requisites:
Co-requisites:
Modules excluded:
Current from: 2021/2

Module Convenor: Dr Yueting Cui
Email: y.cui@icmacentre.ac.uk

Type of module:

Summary module description:

This module is designed to combine theoretical and practical approaches to derivatives. The objectives of the module are the following: first, to give students an overview of the main derivative securities and markets; second, to provide an understanding of derivatives pricing; third, to give an overview of hedging and trading strategies; and fourth, to show how to apply theoretical models and strategies presented in class through exercises, examples and case studies.

Aims:

This module is designed to combine theoretical and practical approaches to derivatives. The objectives of the module are the following: first, to give students an overview of the main derivative securities and markets; second, to provide an understanding of derivatives pricing; third, to give an overview of hedging and trading strategies; and fourth, to show how to apply theoretical models and strategies presented in class through exercises, examples and case studies.

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Assessable learning outcomes:

By the end of the module, students will be able to: describe and characterize derivatives and their markets; evaluate and apply pricing, hedging and trading methods; construct simple spreadsheets for derivatives pricing, hedging and trading.

Additional outcomes:

Outline content:

Topic 1: Introduction to the forward and futures markets

Topic 2: Forward and futures prices and hedging strategies

Topic 3: Interest rate futures

Topic 4: Bond futures

Topic 5: Interest rate swaps

Topic 6: Credit derivatives

Topic 7: Option markets and trading strategies

Topic 8: Introduction to option pricing

Topic 9: Options on stoc k indices, currencies and futures

Topic10: Introduction to Exotic options, ETFs and CFDs

Brief description of teaching and learning methods:

A combination of lectures and hands on seminars. During the seminars, students are guided through the solutions to the relevant pricing, hedging and trading exercises. Handouts are provided.

Contact hours:

Ìý	Autumn	Spring	Summer
Lectures	20
Seminars	10
Practicals classes and workshops	8
Guided independent study:	Ìý	Ìý	Ìý
Ìý Ìý Wider reading (independent)	86
Ìý Ìý Exam revision/preparation	60
Ìý Ìý Preparation for seminars	16
Ìý	Ìý	Ìý	Ìý
Total hours by term	200	0	0
Ìý	Ìý	Ìý	Ìý
Total hours for module	200

Summative Assessment Methods:

Method	Percentage
Written exam	80
Class test administered by School	20

Summative assessment- Examinations:

1.5 hour class test – 20 multiple choice questions – tested in the last week of the semester

1.5 hour unseen written paper

Summative assessment- Coursework and in-class tests:

Formative assessment methods:

Penalties for late submission:

The Support Centres will apply the following penalties for work submitted late:

• where the piece of work is submitted after the original deadline (or any formally agreed extension to the deadline): 10% of the total marks available for that piece of work will be deducted from the mark for each working day (or part thereof) following the deadline up to a total of five working days;
• where the piece of work is submitted more than five working days after the original deadline (or any formally agreed extension to the deadline): a mark of zero will be recorded.

The University policy statement on penalties for late submission can be found at:
You are strongly advised to ensure that coursework is submitted by the relevant deadline. You should note that it is advisable to submit work in an unfinished state rather than to fail to submit any work.

Assessment requirements for a pass:
A minimum mark of 40%.

Reassessment arrangements:

Resits are in August/September

Additional Costs (specified where applicable):

1) Required text books: £30- £55 2) Specialist equipment or materials: 3) Specialist clothing, footwear or headgear: 4) Printing and binding: 5) Computers and devices with a particular specification: 6) Travel, accommodation and subsistence:

Last updated: 6 January 2022