Derivatives Trading Book Management with Programming

Learning Outcomes

Knowledge and Understanding

Having successfully completed this module, you will be able to demonstrate knowledge and understanding of:

• the most important products and institutions in the derivatives industry
• how regulation affects risk and capital management
• the use of static and dynamic hedging in running a derivatives book

Transferable and Generic Skills

Having successfully completed this module you will be able to:

• apply reasoning to solving problems with data in real time
• communicate technical information clearly and concisely
• demonstrate advanced analytic, mathematical, and computational skills

Subject Specific Intellectual and Research Skills

Having successfully completed this module you will be able to:

• structure bespoke derivatives products to fit specific client needs
• implement Monte Carlo simulation for risk and capital management of a derivatives book
• write computational programs to calculate prices of derivatives products and their sensitivities

The social value of market making

Derivatives products and the derivatives industry

Dynamic hedging and marginal replication cost

Monte Carlo simulation for pricing and risk management

Structuring

Funding, collateral, and counterparty credit risk

Value-at-risk and economic capital

Regulatory requirements

Weekly lectures will provide an overview of the main issues arising in the module.

Weekly classes will supplement the lectures which will support student learning by providing opportunities for you to attempt, and gain feedback on, numerical and problem-solving exercises. This will include access to computer labs to develop Monte Carlo simulation and other methods, as well as in the Bloomberg suite to access and analyse real-time financial data.

Summative

This is how we’ll formally assess what you have learned in this module.

Referral

This is how we’ll assess you if you don’t meet the criteria to pass this module.

Repeat

An internal repeat is where you take all of your modules again, including any you passed. An external repeat is where you only re-take the modules you failed.