Futures, Options and Risk Management


Course Code (Undergraduate): /

Course Code (Postgraduate): 2102054

48 Contact Hours

7.5 ECTS points Credit Points

Course Description

This course explores the methods for evaluating and managing the financial risk of companies and financial organisations. Particular emphasis is placed on fundamental pricing principles and the use of contemporary financial products in managing risk, including futures, forwards, options and swaps. Students will look at how organisations have implemented risk management practices in order to allow for calculated risks to be taken and to avoid overexposure to financial risks. For practical knowledge, students will look into the different types of derivative contracts and valuation techniques used in the industry today.
This course looks at existing policies and reflects on how these policies have been influenced by the substantial losses in financial markets from the past few decades, which have led to many companies forming risk management divisions of their own. By the end of the course, students will be equipped with problem-solving and analytical skills required to deal with financial risks. They will also have knowledge of relevant frameworks and tools required to effectively manage these financial risks.


Schedule and Topics

1. Introduction
2. Mechanics of Futures Markets
3. Hedging Strategies Using Futures
4. Determination of Forward and Futures Prices
5. Interest Rate Futures
6. Swaps
7. Mechanics of Options Markets
8. Properties of Stock Options
9. Trading Strategies Involving Options
10. Binomial Trees, Wiener Processes and Itô’s Lemma and The Black-Scholes-Merton Model
11. Options on Stock Indices and Currencies
12. Options on Futures
13. Greek Letters and Volatility Smiles
14. Basic Numerical Procedures
15. Value at Risk
16. Exotic Options
17. More on Models and Numerical Procedures
18. Derivatives Mishaps and What We Can Learn from Them


In class quizzes (3* 10% each);
Individual Assignment (30%);
Final examination (40%).


This course is open to postgraduate students. Sound knowledge of topics covered in introductory Financial Studies units is a necessary basis for satisfactory completion of this course.

Reference Books

Required textbook:
Futures, Options and Swaps, by R. W. Kolb, 4th Ed, Blackwell Publishing, 2003.

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Course Code (Undergraduate): /
Course Code (Postgraduate): 2102054


学时: 48 Contact Hours
学分: 7.5 ECTS points
语言: English, 中文
课程开放日期:28 June 2021
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