In this unit, students are provided with an overview of the treasury management function and the organisational structure of the treasury management function. Students also learn about risk, risk management models and foreign exchange-spot and forward markets-exchange rate determination; measuring foreign exchange risk; foreign exchange risk management - vanilla options, exotic options, futures; weather risk management; operational risk; review of interest rates and pricing of securities; measuring interest rate risk, duration and convexity models; interest risk rate management. The unit will also examine options, futures, swaps, forward rate agreements; credit derivatives and treasury... -- Course Website
Instructor: B Li
Prerequisites: MAA786 or MAF702 or MPF753 or MPT753<br/>Prerequisite for M778 students: Nil
