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Derivative Securities (FNCE90011)
Graduate courseworkPoints: 12.5On Campus (Parkville)
About this subject
- Overview
- Eligibility and requirements
- Assessment
- Dates and times
- Further information
- Timetable(opens in new window)
Contact information
Semester 1
Semester 1
Jonathan Dark: jdark@unimelb.edu.au
Semester 2
Thijs Van Der Heijden: thijsv@unimelb.edu.au
Semester 2
Semester 1
Jonathan Dark: jdark@unimelb.edu.au
Semester 2
Thijs Van Der Heijden: thijsv@unimelb.edu.au
Overview
Availability | Semester 1 Semester 2 |
---|---|
Fees | Look up fees |
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: 30 October 2023
Eligibility and requirements
Prerequisites
This subject is only available to students enrolled in the Graduate Diploma in Finance, Postgraduate Diploma in Finance, the Master of Finance and for students in the Master of Management who have successfully completed FNCE90018 Corporate Financial Policy and FNCE90056 Investment Management.
Code | Name | Teaching period | Credit Points |
---|---|---|---|
FNCE90018 | Corporate Financial Policy |
Semester 2 (On Campus - Parkville)
Semester 1 (On Campus - Parkville)
|
12.5 |
FNCE90056 | Investment Management |
Semester 1 (On Campus - Parkville)
Semester 2 (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: 30 October 2023
Assessment
Additional details
- 3000 word group assignment (normally groups of 3-4 students) due in Weeks 7-9 (30%)
- Three-hour end-of semester examination (70%)
Note: Successful completion of this subject requires a pass (50%) in the final exam.
Last updated: 30 October 2023
Dates & times
- Semester 1
Principal coordinator Jonathan Dark Mode of delivery On Campus (Parkville) Contact hours Three hours per week of lectures Total time commitment 170 hours Teaching period 26 February 2018 to 27 May 2018 Last self-enrol date 9 March 2018 Census date 31 March 2018 Last date to withdraw without fail 4 May 2018 Assessment period ends 22 June 2018 Semester 1 contact information
Semester 1
Jonathan Dark: jdark@unimelb.edu.au
Semester 2
Thijs Van Der Heijden: thijsv@unimelb.edu.au
- Semester 2
Principal coordinator Thijs van der Heijden Mode of delivery On Campus (Parkville) Contact hours Three hours per week of lectures 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
Semester 1
Jonathan Dark: jdark@unimelb.edu.au
Semester 2
Thijs Van Der Heijden: thijsv@unimelb.edu.au
Time commitment details
Estimated total time commitment of 170 hours per semester
Last updated: 30 October 2023
Further information
- Texts
Prescribed texts
You will be advised of prescribed texts by your lecturer.
- Related Handbook entries
This subject contributes to the following:
Type Name Course Graduate Diploma in Finance Course Master of Finance Course Master of Management (Accounting and Finance) Course Master of Management (Finance) Course Master of Management (Finance) Informal specialisation 150 Point Master of Management (Finance) - Available through the Community Access Program
About the Community Access Program (CAP)
This subject is available through the Community Access Program (also called Single Subject Studies) which allows you to enrol in single subjects offered by the University of Melbourne, without the commitment required to complete a whole degree.
Entry requirements including prerequisites may apply. Please refer to the CAP applications page for further information.
Last updated: 30 October 2023