University of St Andrews

Key information

SCOTCAT credits : 20

ECTS credits : 10

Level : SCQF level 11

Semester: 1

Planned timetable: TBC

The Global Capital Markets divisions of Investment Banks are now a significant employer of highly numerate graduates who have a rigorous training in both Economics and Mathematics. This module will provide a practical introduction to the theory and applications of the various different types of structured derivatives that currently exist across all the asset classes that constitute Capital Markets. Detailed examples of both the applications as well as the dynamics, valuation and risk-management of 'vanilla' and 'exotic' Interest Rate, Equity, Credit, FX and Commodity structured derivatives will be discussed and analysed.The focus will be practical and there will be a bias towards developing a strong intuition through discussing and analyzing such questions as 'Why do structured derivatives exists?', 'Who are the participants (e.g. Asset Managers, Pension Funds, Hedge Funds, etc) in this market?', 'How are these structured derivatives valued, risk-managed and traded?', 'What type of models are used in their valuation?', 'What assumptions underlie the models and when do the assumptions break down?' to finally 'How do Banks make money from structured derivatives?' and 'How are the models actually used on the trading desks of Investment Banks?'

Learning and teaching methods and delivery

Weekly contact:

Scheduled learning hours: 30

Guided independent study hours: 170

Assessment pattern

As used by St Andrews:

As defined by QAA
Written examinations : 50%
Practical examinations : 0%
Coursework: 50%

Personnel