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Advanced Derivative Securities (FNCE40009)
HonoursPoints: 12.5On Campus (Parkville)
For information about the University’s phased return to campus and in-person activity in Winter and Semester 2, please refer to the on-campus subjects page.
About this subject
- Overview
- Eligibility and requirements
- Assessment
- Dates and times
- Further information
- Timetable(opens in new window)
Contact information
Semester 2
Ravi Sastry
Please refer to the LMS for up-to-date subject information, including assessment and participation requirements, for subjects being offered in 2020.
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.
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
Admission to BH-COM and
Code | Name | Teaching period | Credit Points |
---|---|---|---|
FNCE30007 | Derivative Securities |
Semester 1 (On Campus - Parkville)
Semester 2 (On Campus - Parkville)
|
12.5 |
Corequisites
None
Non-allowed subjects
Students may not gain credit for both FNCE40009 Advanced Derivative Securities and
Code | Name | Teaching period | Credit Points |
---|---|---|---|
ACTL40004 | Advanced Financial Mathematics | Semester 1 (On Campus - Parkville) |
12.5 |
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
Due to the impact of COVID-19, assessment may differ from that published in the Handbook. Students are reminded to check the subject assessment requirements published in the subject outline on the LMS
Description | Timing | Percentage |
---|---|---|
Two group assignments, 2500 words each, (normally 3-4 students per group)
| From Week 7 to Week 12 | 30% |
End-of-semester examination
| During the examination period | 70% |
Last updated: 3 November 2022
Dates & times
- Semester 2
Principal coordinator Ravi Sastry Mode of delivery On Campus (Parkville) Contact hours Three hours of lectures and seminars per week Total time commitment 120 hours Teaching period 3 August 2020 to 1 November 2020 Last self-enrol date 14 August 2020 Census date 21 September 2020 Last date to withdraw without fail 16 October 2020 Assessment period ends 27 November 2020 Semester 2 contact information
Ravi Sastry
Time commitment details
120 hours
Last updated: 3 November 2022
Further information
- Texts
Prescribed texts
There are no specifically prescribed or recommended texts for this subject.
Last updated: 3 November 2022