Course co-ordinator(s): Dr Timothy C Johnson (Edinburgh).
Aims:
This course introduces students to advanced topics in derivatives, developing on the material in the CT8 syllabus.
Summary:
This course developes the students understanding of derivatives by extending their comprehension of
- Stochastic Calculus applied to financial markets
- Exotic options and derivative portfolios
- Stochastic Volatility
- Numerical methods
- Modelling the Term Structure of Interest Rates
- Structured Derivatives and Synthetic Securities
This course covers some of the material in Subject ST6 of the Institute/Faculty of Actuaries examinations and, for the MSc in Actuarial Management, is synoptic with Derivative Markets (F71DM).
Detailed Information
Course Description: Link to Official Course Descriptor.
Pre-requisites: none.
Location: Edinburgh.
Semester: 2.
Reading list:
Due to the breadth of the material there is no specific recommended text, however as the course follows the ST6 syllabus students are advised to refer to the Core Reading for ST6 (supplied). The recommended reading for ST6 is:
- Hull, J., (2000) Options, futures and other derivative securities, Prentice Hall;
SCQF Level: 10, 11.
Other Information
Help: If you have any problems or questions regarding the course, you are encouraged to contact the course leader.
Canvas: further information and course materials are available on Canvas