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Derivatives across Asset Classes: Valuation and Hedging

Classes

There are no classes currently available for registration.

Overview

This Derivatives Across Asset Classes short course is ideal for anyone working in or wishing to work in derivatives, whether as a quantitative analyst or trader, or in risk management.

You will learn about the concept of primitive assets and risk premium embedded in their price; the notion of complete markets; forwards and futures as linear derivatives and their central role in equities, FX and commodities. You will explore the famous Black-Scholes-Merton model using a change of probability measure, review fundamentals on interest rates and extend the major option pricing formulas to stochastic interest rates. You will also study interest rates - caps, floors, swaptions - and the fundamentals of international finance and the Garman-Kohlhagen formula.

As well as gaining a deep understanding of the economic assumption of no arbitrage, you will benefit from further knowledge on:

  • how no arbitrage is translated in the spot markets of the different asset classes, from equity and bonds to credit and currencies
  • the benefits of changes of probability measures and the way they represent a very useful tool, to price contingent cashflows in particular
  • how derivatives are designed and priced according to the specific asset class
  • Monte Carlo simulations and their use in different areas of finance.

This Derivatives Across Asset Classes short course is assessed via coursework (25%) and a final examination (75%).

15 credits at level 7

  • Entry requirements

    Entry requirements

    Most of our short courses have no formal entry requirements and are open to all students.

    This is a postgraduate-level short course so you should already have an undergraduate level of mathematics with some knowledge of financial markets, in particular derivatives.

    As part of the enrolment process, you may be required to submit a copy of a suitable form of ID.

    International students who wish to come to the UK to study a short course can apply for a Visitor visa. Please note that it is not possible to obtain a Student visa to study a short course.

  • How to apply

    How to apply

    You register directly onto the classes you would like to take. Classes are filled on a first-come, first-served basis - so apply early. If you wish to take more than one short course, you can select each one separately and then register onto them together via our online application portal. There is usually no formal selection process, although some modules may have prerequisites and/or other requirements, which will be specified where relevant.