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Derivative Securities (FNCE90020)
Graduate courseworkPoints: 12.5Not available in 2018
You’re currently viewing the 2018 version of this subject
Overview
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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 strategies, 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; and
- Calculate and use hedge parameters in option pricing.
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: 3 November 2022