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Derivative Securities (FNCE90011)

Graduate courseworkPoints: 12.5On Campus (Parkville)

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Overview

Year of offer2017
Subject levelGraduate coursework
Subject codeFNCE90011
Campus
Parkville
Availability
Semester 1
Semester 2
FeesSubject EFTSL, Level, Discipline & Census Date

This subject covers derivative markets and derivative securities. It discusses pricing, risk management and regulatory aspects of derivative securities. Topics include: forwards and futures markets, options markets, arbitrage and trading securities, basic pricing concepts, the cost-of-carry model, the Black-Scholes model, hedging and risk management techniques.

Intended learning outcomes

On successful completion of this subject students should be able to:

  • Explain factors affecting option prices, including volatility and dividends;
  • Calculate arbitrage bounds;
  • Devise trading strategies for options;
  • Explain the impact of dividends on option pricing;
  • Use the Black-Scholes model for option pricing;
  • Calculate and use hedge parameters in option pricing
  • Explain factors affecting the pricing of forward and futures contracts
  • Devise appropriate hedging strategies using a mix of different derivative securities.

Generic skills

On successful completion of this subject, students should have improved the following generic skills:

  • Oral communication
  • Written communication
  • Collaborative learning
  • Problem solving
  • Team work
  • Statistical reasoning
  • Application of theory to practice
  • Interpretation and analysis
  • Critical thinking
  • Synthesis of data and other information
  • Using computer software

Last updated: 16 August 2017