FINM3405 Content

Lectures	Tutorials
1: Introduction to derivatives	Tutorial 1
2: Futures and forwards - Examples and basic concepts	Tutorial 2
3: Futures and forwards - Pricing and optimal hedging	Tutorial 3
4: Options - Introduction	Tutorial 4
5: Options - Black-Scholes model and the Greeks	Tutorial 5 (jupyter notebook)
6: Options - Delta Hedging and Delta-Gamma Hedging
7: Options - Numerical methods
8: Options - Exotic options
9: Credit Default swaps	Tutorial 9
8: Floating rate notes and interest rate swaps
Public holiday - no lecture
12: Value at Risk and Expected Shortfall	Tutorial 12
13: Revision

Final Exam Revision

Topic covered	Worked Examples
Lecture 1, basic definitions
Lectures 2-3 forwards and futures
Lecture 4-8 Options
Lecture 9 CDS
Lecture 10 Floating Rate notes and Interest Rate swaps
Lecture 11 VaR and ES

Assignment Appendices

Assignment
Appendix 1: Introduction and Unhedged Portfolio
Appendix 2: Partial Liquidation
Appendix 3: Futures
Appendix 4: Options
Appendix 5: CDS