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FIN40060

Academic Year 2026/2027

Advanced Derivative Securities (FIN40060)

Subject:
Finance
College:
Business
School:
Business
Level:
4 (Masters)
Credits:
7.5
Module Coordinator:
Dr Conall O'Sullivan
Trimester:
Spring
Mode of Delivery:
On Campus
Internship Module:
No
How will I be graded?
Letter grades

Curricular information is subject to change.

Advanced Derivative Securities gives students a foundation in the mathematical methods of financial modelling and optimal choice in dynamically uncertain situations. A practical treatment of the formalism and notation of the Ito Calculus will be covered, including the definition and practical ramifications of the Ito integral, Ito's lemma, and the Girsanov theorem on change of measure. Stochastic differential equations are covered, followed by a general coverage of the properties of Brownian Motion and other types of Stochastic Processes. We will examine the valuation and hedging of currency derivatives and fixed income derivatives.

About this Module

Learning Outcomes:

On completing this module students will be expected to be able to:

• Apply the results and formalism of Stochastic Calculus to analyze and solve problems in Finance
• Understand and work with Stochastic Processes, including Wiener Processes
• Model financial situations in terms of Stochastic Processes and tackle problems
• Pose a dynamic choice problem in terms of the stochastic dynamic programming approach, and to be familiar with methods of solving Bellman's equation for the value function.

The United Nations identified seventeen Sustainable Development Goals (SDGs) as core to the 2030 Agenda for Sustainable Development, and UCD contributes in general to SDG 4 Quality Education. Further SDGs explored within this module if relevant are listed below. A scale of 1 - 5 indicates the extent to which the SDG is covered.


 

Student Effort Hours:
Student Effort Type Hours
Lectures

16
Tutorial

6
Autonomous Student Learning

130
Total

152

Approaches to Teaching and Learning:
• Lectures
• Reading of Textbook and any other assigned materials
• Tutorials and problem-based learning

Requirements, Exclusions and Recommendations

Not applicable to this module.


Module Requisites and Incompatibles
Not applicable to this module.
 

Assessment Strategy
Description Timing Component Scale Must Pass Component % of Final Grade In Module Component Repeat Offered
Participation in Learning Activities: Participation in class quizzes and discussions of research papers. Week 1, Week 2 Alternative linear conversion grade scale 40% No
10
 No
Exam (In-person): Final exam consisting of theory and numerical questions End of trimester
Duration:
2 hr(s)
 Alternative linear conversion grade scale 40% No
80
 Yes
Exam (In-person): Midterm exam Week 1 Alternative linear conversion grade scale 40% No
10
 No

Carry forward of passed components
Yes
 

Remediation Type Remediation Timing
In-Module Resit Prior to relevant Programme Exam Board
Please see Student Jargon Buster for more information about remediation types and timing. 

Feedback Strategy/Strategies

• Feedback individually to students, post-assessment

How will my Feedback be Delivered?

Feedback will be provided both oral and written and both in-class and out of class throughout the trimester.

Name Role
Mr Ioannis Ropotos Tutor

Timetabling information is displayed only for guidance purposes, relates to the current Academic Year only and is subject to change.
Spring Lecture Offering 1 Week(s) - 20, 21, 22, 23, 24, 25, 26, 29, 30, 33 Thurs 10:00 - 11:50
Spring Lecture Offering 1 Week(s) - 21, 23 Tues 14:00 - 15:50
Spring Tutorial Offering 1 Week(s) - 21, 22, 23, 24, 25, 26, 29, 30, 33 Wed 12:30 - 13:20
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