Overview
FNCE 403 provides an introduction to risk management using derivative instruments, which is an increasingly important area in both modern financial academia and financial industry. The main objectives of FNCE 403 are
- to introduce the basic concepts and methodologies of risk management using derivative instruments, including options, futures, forwards, and swaps.
- to introduce the characteristics and valuation of various derivative securities.
- to explore the applications of derivatives to manage various risks such as market risk, currency risk, interest rate risk, and credit risk.
Outline
Unit 1: Introduction to Derivatives and Markets
- Lesson 1: Derivative Securities
- Lesson 2: Structure of Derivatives Markets
Unit 2: Options
- Lesson 3: Principles of Option Pricing
- Lesson 4: Option Pricing with Binomial Model
- Lesson 5: Black-Scholes-Merton Option Pricing Model
- Lesson 6: Basic Option Strategies
- Lesson 7: Advanced Option Strategies
Unit 3: Forwards and Futures
- Lesson 8: Principles of Pricing Forwards, Futures, and Options on Futures
- Lesson 9: Futures Arbitrage Strategies
- Lesson 10: Forwards and Futures Hedging
Unit 4: Swaps and Interest Rate Derivatives
- Lesson 11: Interest Rate Swaps
- Lesson 12: Currency and Equity Swaps
- Lesson 13: Interest Rate Forwards and Options
Unit 5: The Big Picture in Risk Management
- Lesson 14: Financial Risk Management Techniques and Applications
- Lesson 15: General Concepts and Principles in Risk Management
Learning outcomes
After completing this course, students should be able to:
- discuss the characteristics and valuation of various derivative securities and their markets, including options and options contracts; forwards and options on forwards; futures; and interest rate swaps, currency swaps, and equity swaps.
- explain the important concepts and methodologies of risk management using derivative instruments.
- apply derivatives to manage various risks such as market risk, currency risk, interest rate risk, and credit risk.
Evaluation
To receive credit for FNCE 403, you must pass the final examination and achieve a course composite grade of at least a D (50 percent). The passing grade for the examination, under 小优视频's alpha grading system, is a D (50 percent). Your final mark will be determined by your marks on four assignments and a final examination. The chart below provides the credit weight associated with each of these requirements.
| Activity | Weight |
| Assignment 1 | 15% |
| Assignment 2 | 15% |
| Assignment 3 | 15% |
| Assignment 4 | 10% |
| Final Exam | 45% |
| Total | 100% |
The final examination for this course must be requested in advance and written under the supervision of an 小优视频-approved exam invigilator. Invigilators include either ProctorU or an approved in-person invigilation centre that can accommodate online exams. Students are responsible for payment of any invigilation fees. Information on exam request deadlines, invigilators, and other exam-related questions, can be found at the Exams and grades section of the Calendar.
Materials
Digital course materials
Links to the following course materials will be made available in the course:
Chance, D. M., and Brooks, R. (2016). An introduction to derivatives and risk management, (10th ed.). Boston, MA: Cengage Learning. 9781305104969.
Other Resources
All other learning resources will be available online.
Challenge for credit
Overview
The challenge for credit process allows you to demonstrate that you have acquired a command of the general subject matter, knowledge, intellectual and/or other skills that would normally be found in a university-level course.
Full information about challenge for credit can be found in the Undergraduate Calendar.
Evaluation
To receive credit for the FNCE 403 challenge registration, you must achieve a grade of at least D (50 percent) on the examination.
Challenge for credit course registration form