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Module Specifications

Archived Version 2014 - 2015

Module Title Derivatives
Module Code EF504
School DCUBS

Online Module Resources

Module Co-ordinatorProf Brian O'KellyOffice NumberQ135
NFQ level 9 Credit Rating 5
Pre-requisite None
Co-requisite None
Compatibles None
Incompatibles None

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

Workload Full-time hours per semester
Type Hours Description
Lecture2No 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 Assessment25% Examination Weight75%
Course Work Breakdown
TypeDescription% of totalAssessment Date
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
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
MITBMSc in Investment, Treasury & Banking
PBSSAPG Exchange(Business School)
PBSSAOPG Study Abroad(Business School)