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Derivatives Trading Book Management with Programming

When you'll study it
Semester 2
CATS points
15
ECTS points
7.5
Level
Level 6
Module lead
Laurie Carver
Academic year
2025-26

Module overview

Derivatives Trading Book Management with Programming is a practically focused advanced course in the market-making of derivatives products using computational modelling. Students will get a bird's eye view of the derivatives industry, and the roles of the major buy- and sell-side players, across all underlying asset classes. They will learn how to use the main 'vanilla' products - forwards, swaps, options, caps and floors - to structure bespoke features and exotic contracts for prospective clients. Using Python, students will create their own Monte Carlo engine and use it in the practice of market making: pricing, dynamic hedging, and risk management. Finally, students will learn about the role and social impact of financial market regulations.