Advanced Derivative Securities (FNCE90005)
Graduate courseworkPoints: 12.5On Campus (Parkville)
Overview
| Availability | Semester 2 |
|---|---|
| Fees | Look up fees |
Arbitrage bounds, stock price dynamics, geometric Brownian motion and Itos Lemma, Cox-Ross-Rubinstein binomial model, Black-Scholes model, risk neutral valuation, forwards and futures, currency, stock index, futures and exotic options, Interest rate derivative securities.
Intended learning outcomes
On successful completion of this subject students should be able to:Explain the role of arbitrage as a basis for determining the prices of financial securities;
- Compare the various dynamics of stock price and interest rate models;
- Explain the derivation of key option pricing models including the Cox-Ross-Rubinstein Binomial model and the Black-Scholes model;
- Analyse the use of arbitrage pricing techniques to value other classes of derivative securities including forwards, futures, swaps and interest rate derivatives;
- Analyse the theoretical limitations of key pricing models and on practical difficulties which arise in their implementation.
- Use statistical software to compute prices of financial instruments according to key pricing models such as the Black-Scholes model.
- Interpret and analyse market data using statistical software to generate inputs for pricing models and to value derivative portfolios.
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
- Evaluation of data and other information
- Using computer software
Last updated: 3 November 2022
Eligibility and requirements
Prerequisites
Either FNCE30007 Derivative Securities and FNCE40002 Advanced Investments or admission into the Master of Commerce – Finance.
| Code | Name | Teaching period | Credit Points |
|---|---|---|---|
| FNCE30007 | Derivative Securities |
Semester 2 (On Campus - Parkville)
Semester 1 (On Campus - Parkville)
|
12.5 |
| FNCE40002 | Advanced Investments | Semester 1 (On Campus - Parkville) |
12.5 |
Corequisites
None
Non-allowed subjects
None
Inherent requirements (core participation requirements)
The University of Melbourne is committed to providing students with reasonable adjustments to assessment and participation under the Disability Standards for Education (2005), and the Assessment and Results Policy (MPF1326). Students are expected to meet the core participation requirements for their course. These can be viewed under Entry and Participation Requirements for the course outlines in the Handbook.
Further details on how to seek academic adjustments can be found on the Student Equity and Disability Support website: http://services.unimelb.edu.au/student-equity/home
Last updated: 3 November 2022
Assessment
Additional details
- 3-hour end-of-semester examination (70%)
- Two group assignments, 2500 words each, (normally 3-4 students per group), due in weeks 7-12 (30%)
Note: Successful completion of this subject requires a pass (50%) in the final exam.
Last updated: 3 November 2022
Dates & times
- Semester 2
Principal coordinator Ravi Sastry Mode of delivery On Campus (Parkville) Contact hours Seminars, lectures and tutorials totalling 3 hours per week Total time commitment 170 hours Teaching period 23 July 2018 to 21 October 2018 Last self-enrol date 3 August 2018 Census date 31 August 2018 Last date to withdraw without fail 21 September 2018 Assessment period ends 16 November 2018 Semester 2 contact information
Dr Ravi Sastry
ravi.sastry@unimelb.edu.au
Time commitment details
Estimated total time commitment of 170 hours per semester
Last updated: 3 November 2022
Further information
- Texts
- Related Handbook entries
This subject contributes to the following:
Type Name Course Master of Commerce (Finance) Course Master of Commerce (Accounting)
Last updated: 3 November 2022