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
Learning outcomes
After completing this course, students should be able to:
discuss the characteristics and valuation of various derivative securities and their markets, including options and options contracts; forwards and options on forwards; futures; and interest rate swaps, currency swaps, and equity swaps.
explain the important concepts and methodologies of risk management using derivative instruments.
apply derivatives to manage various risks such as market risk, currency risk, interest rate risk, and credit risk.
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 a 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.
Activity
Weight
Assignment 1
15%
Assignment 2
15%
Assignment 3
15%
Assignment 4
10%
Final Exam
45%
Total
100%
To learn more about assignments and examinations, please refer to Athabasca University’s online Calendar.
In response to COVID-19 containment directives, temporary online exam(s) are available for this course.
Materials
Chance, D. M., and Brooks, R. (2016). An introduction to derivatives and risk management, (10th ed.). Boston, MA: Cengage Learning. 9781305104969. (eText)
All other learning resources will be available online.
Challenge for credit
Overview
The challenge for credit process allows you to demonstrate that you 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 about challenge for credit can be found in the Undergraduate Calendar.
Evaluation
To receive credit for the FNCE 403 challenge registration, you must achieve a grade of at least D (50 percent) on the examination.
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.