Registry

Module Specifications

Archived Version 2012 - 2013

Module Title	Derivatives
Module Code	EF504
School	DCUBS
Online Module Resources
Module Co-ordinator	Prof Brian O'Kelly	Office Number	Q135
NFQ level	9	Credit Rating	5
Pre-requisite	None
Co-requisite	None
Compatibles	None
Incompatibles	None

Description

To familarise students with the types and characteristics of the major classes of investment securities in use in domestic and international financial markets and the theory and practice of valuing those securities. This course is taught from the perspective of the investment manager

Learning Outcomes

1. Explain the role and use of derivatives in financial markets
2. Distinguish between the various interest rates in use in the markets – spot, forward, swap – and know how derive each from the others
3. Derive the payoff schedules for futures and put and call options
4. Use the geometric Brownian motion model of securities price behaviour to derive the Black-Scholes-Merton option-pricing model
5. Calculate the prices of various securities using (i) binomial trees, and (ii) Monte Carlo simulation
6. Assess the usefulness and limitations of the geometric Brownian motion model

*Type*	*Hours*	*Description*
Workload	Full-time hours per semester
Lecture	2	No Description
Total Workload: 2

All module information is indicative and subject to change. For further information,students are advised to refer to the University's Marks and Standards and Programme Specific Regulations at: http://www.dcu.ie/registry/examinations/index.shtml

Indicative Content and Learning Activities

Assessment Breakdown
Continuous Assessment	25%	Examination Weight	75%

Type	Description	% of total	Assessment Date
Course Work Breakdown

Reassessment Requirement
Resit arrangements are explained by the following categories; 1 = A resit is available for all components of the module 2 = No resit is available for 100% continuous assessment module 3 = No resit is available for the continuous assessment component
Unavailable

Indicative Reading List

.: 0, Course material is drawn from a number of different texts. Recommended reading includes:Cutherbertson, K. Quantitiative Financial Economics: Stocks, Bonds and Foreign Exchange, Wiley 1996Solnik, B., International Investments, 3rd edition Addison Wesle,

Other Resources

Programme or List of Programmes

MITB	MSc in Investment, Treasury & Banking
PBSSA	PG Exchange(Business School)
PBSSAO	PG Study Abroad(Business School)

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