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Module Specifications

Current Academic Year 2012 - 2013
Please note that this information is subject to change.

Module Title Finance & Derivatives
Module Code EF5118
School DCUBS
Online Module Resources

Module Co-ordinatorSemester 1: Mark Cummins
Semester 2: Mark Cummins
Autumn: Mark Cummins
Module TeacherMark Cummins
NFQ level 9 Credit Rating 5
Pre-requisite None
Co-requisite None
Compatibles None
Incompatibles None
Description
This module will give students a comprehensive treatment of derivatives instruments, including the building blocks of forwards, futures, swaps and options. Students will be introduced to many common derivative instruments are structured and common techniques for valuation techniques, including binomial trees and the Black-Scholes model for options valuation. The use of derivatives for risk management will core to the delivery. Energy and commodity derivatives will be described, in addition to real option techniques for project appraisal. The link between market efficiency and no arbitrage theory will be established.

Learning Outcomes
1. Understand the fundamental derivative instruments of forwards, futures, swaps and options.
2. Understand how derivative instruments are used in managing risks, either eliminating risk entirely or downside risk only.
3. Describe the payoff profiles of the fundamental derivatives instruments and value these contracts according to no arbitrage theory.
4. Structure and assess alternative hedging strategies, while appreciating the factors affecting hedging performance.
5. Appreciate the link between market efficiency and no arbitrage theory.



Workload Full-time hours per semester
Type Hours Description
Lecture24The lecturer will present the essential ideas and core concepts pointing students towards resources where they can get further information
Independent learning36Preparation for, and reading after lectures
Assignment30Individual project I assigned by lecturer
Assignment35Individual project II assigned by lecturer
Total Workload: 125

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
Forwards, Futures and Swaps.
Introduction; hedging strategies Using futures; determination of forward and futures prices; swaps..

Options.
Properties of stock options; binomial trees; Wiener processes and Ito’s Lemma; the Black-Scholes-Merton model; greek letters..

Additional Topics.
Swaps revisited; energy and commodity derivatives; real options; link between market efficiency and no arbitrage theory..

Assessment Breakdown
Continuous Assessment50% Examination Weight50%
Course Work Breakdown
TypeDescription% of totalAssessment Date
ProjectIndividual Project - Forwards/Futures/Swaps25%Week 6
ProjectIndividual Project - Options25%Week 10
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
This module is category 1
Indicative Reading List
  • John Hull: 2011, Options, Futures, and Other Derivatives, 8th, Pearson,
Other Resources
None
Array
Programme or List of Programmes
MSEFMSc in Sustainable Energy Finance
Timetable this semester: Timetable for EF5118
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