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Financial Security Valuation

Please note that the following information may be subject to change.

Module Convenor:  Manish Gupta

Module Content:
Equity, fixed income and derivative securities will be considered individually and portfolios. These will be presented as extensions of previously studied material as well as new topics.

Among individual security classes topics will be:

Equities: Mean-variance efficient portfolios, CAPM, dividend discount valuation.

Fixed Income: Basic bond terminology and valuation, interest rate term structure and forward rates, duration, convexity and hedging.

Derivatives: Forward and futures contracts, static hedging.
Swaps.
Common options.
Basic modelling assumptions for the underlying (gBm) and using market data (gBm, growth rate, volatility).
Principles of financial derivative valuation and analytic and numerical methods for valuation.
Other topics: Exotic options, Monte-Carlo valuation.

Techniques will be combined to look at:
Option/bond/equity combinations (financial engineering).
Dynamic hedging.
Portfolio insurance.
Bonds with option features (convertibles, interest rate cap and floor)

Module Aims:
Understanding the ideas and methods used to value the most common financial securities, including equities, bonds and derivatives.

Understanding the uses of these securities both individually and in combination.

Module Assessment:
3 Hour Examination (100%)


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Nottingham University Business School

Jubilee Campus
Nottingham
NG8 1BB

telephone: +44 (0) 115 846 6602
fax: +44 (0) 115 846 6667
email: business-enquiries@nottingham.ac.uk