Futures Measures

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In the last 30 trading strategies using options and futures derivatives have become increasingly important in finance and many different types of derivatives are actively traded on exchanges throughout the world. This module explores the pricing and use forwards, futures and options with a particular focus on contracts where the underlying asset is a financial asset - for example, a stock index i. Students will learn how to price these derivatives using various techniques as well as understand how we can use them for i speculating purposes, ii hedging strategies and iii cases where there are arbitrage opportunities.

The main aim trading strategies using options and futures the module is to provide students with a solid background in futures, forwards and options with a particular focus on contracts where the underlying asset is a stock market index.

Important analytical skills will be developed including the use of these financial instruments to form various trading strategies under realistic scenarios as well as the application trading strategies using options and futures appropriate pricing models to determine their value. Finally, students will become familiar with the different dimensions of risk that need to be managed when dynamic hedging is involved.

Having successfully completed this module, you will be able to demonstrate knowledge and understanding of:. This module will last one semester. It consists of about 30 sessions of 45 minutes trading strategies using options and futures. These will be divided into about 20 lectures and 10 classes. Some background in maths and statistics is required. Students are responsible for meeting the cost of essential textbooks, and of producing such essays, assignments, laboratory reports and dissertations as are required to fulfil the academic requirements for each programme of study.

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Module Overview In the last 30 years derivatives have become increasingly important in finance and many different types of derivatives are actively traded on exchanges throughout the world. Aims and Objectives Module Aims The main aim of the module is to provide students with a solid background in futures, forwards trading strategies using options and futures options with a particular focus on contracts where the underlying asset is a stock market index. Learning Outcomes Knowledge and Understanding Having successfully completed this module, you will be able to demonstrate knowledge and understanding of: The concepts and market mechanics of different types of financial derivatives.

How financial derivatives are valued, based on the no-arbitrage and risk-neutral valuation approaches. How these instruments can be used to implement risk management strategies. Subject Specific Intellectual and Research Skills Having successfully completed this module you will be able to: Differentiate among different types of derivative products. Price forwards, futures and options using suitable models and techniques. Transferable and Generic Skills Having successfully completed this module you will be able to: Solve problems with respect to financial derivatives.

Identify appropriate techniques and apply them to particular problems. Teaching and learning methods This module will last one semester. Options, Futures and Other Derivatives. Costs associated with this module Students are responsible for meeting the cost of essential textbooks, and of producing such essays, assignments, laboratory reports and dissertations as are required to fulfil the academic requirements for each programme of study.

In addition to this, students registered for this module typically also have to pay for:

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Given 0. 5 unilateral commission for stock index futures trading, net profit is 1. Taking the 5-6 times leverage level in Chinese stock index futures market, actual profits for investors can reach about 10 in 36 days. Vast experiments on data shows that futures with large volumes, high-frequency turnovers and good fluidity suit this strategy better, for it reduces possibility of jumps (See Table 1). With less jumps, the price range and trend established during the first few minutes of market open can sets the tone for the rest of the day, making high and Figure 3.