Finance (FNCE) 403

Derivatives and Risk Management (Revision 4)

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Delivery Mode: Individualized study online with eTextbook

Credits: 3

Area of Study: Applied Studies
(Business and Administrative Studies)

Prerequisite: FNCE 370 or equivalent. MATH 260 or equivalent is recommended.

Centre: Faculty of Business

FNCE 403 has a Challenge for Credit option.

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Overview

FNCE 403 provides an introduction to risk management using derivative instruments, which is an increasingly important area in both modern financial academia and financial industry. The main objectives of FNCE 403 are

  • to introduce the basic concepts and methodologies of risk management using derivative instruments, including options, futures, forwards, and swaps.
  • to introduce the characteristics and valuation of various derivative securities.
  • to explore the applications of derivatives to manage various risks such as market risk, currency risk, interest rate risk, and credit risk.

Outline

Unit 1: Introduction to Derivatives and Markets

  • Lesson 1: Derivative Securities
  • Lesson 2: Structure of Derivatives Markets

Unit 2: Options

  • Lesson 3: Principles of Option Pricing
  • Lesson 4: Option Pricing with Binomial Model
  • Lesson 5: Black-Scholes-Merton Option Pricing Model
  • Lesson 6: Basic Option Strategies
  • Lesson 7: Advanced Option Strategies

Unit 3: Forwards and Futures

  • Lesson 8: Principles of Pricing Forwards, Futures, and Options on Futures
  • Lesson 9: Futures Arbitrage Strategies
  • Lesson 10: Forwards and Futures Hedging

Unit 4: Swaps and Interest Rate Derivatives

  • Lesson 11: Interest Rate Swaps
  • Lesson 12: Currency  and Equity Swaps
  • Lesson 13: Interest Rate Forwards and Options

Unit 5: The Big Picture in Risk Management

  • Lesson 14: Financial Risk Management Techniques and Applications
  • Lesson 15: General Concepts and Principles in Risk Management

Evaluation

To receive credit for FNCE 403, you must pass the final examination and achieve a course composite grade of at least a “D” (50 percent). The passing grade for the examination, under Athabasca University's alpha grading system, is “D” (50 percent). Your final mark will be determined by your marks on four assignments and a final examination. The chart below provides the credit weight associated with each of these requirements.

Assign 1 Assign 2 Assign 3 Assign 4 Final Exam Total
15% 15% 15% 10% 45% 100%

The final examination for this course will be written in the traditional pen and paper format with an AU approved exam invigilator at an approved invigilation centre.

To learn more about assignments and examinations, please refer to Athabasca University's online Calendar.

Course Materials

Textbook

Registration in this course includes an electronic textbook. For more information on electronic textbooks, please refer to our eText Initiative site.

Chance, D. M., and Brooks, R. (2016). An introduction to derivatives and risk management, (10th ed.). Boston, MA: Cengage Learning. 9781305104969.

A print version of the eText can sometimes be purchased from the publisher through a direct-to-student link provided on the course website; you can also acquire the textbook on your own if you wish.

Other Resources

All other learning resources will be available online.

Challenge for Credit Course Overview

The Challenge for Credit process allows students to demonstrate that they have acquired a command of the general subject matter, knowledge, intellectual and/or other skills that would normally be found in a university level course.

Full information for the Challenge for Credit can be found in the Undergraduate Calendar.

Challenge Evaluation

To receive credit for the FNCE 403 challenge registration, you must achieve a grade of at least “D” (50 percent) on the examination.

Paper Exam (3 hours)

Undergraduate Challenge for Credit Course Registration Form

Athabasca University reserves the right to amend course outlines occasionally and without notice. Courses offered by other delivery methods may vary from their individualized-study counterparts.

Opened in Revision 4, December 9, 2016.

View previous syllabus

Updated January 25 2017 by Student & Academic Services