Handbook home
Advanced Derivative Securities (FNCE40009)
HonoursPoints: 12.5Dual-Delivery (Parkville)
Please refer to the return to campus page for more information on these delivery modes and students who can enrol in each mode based on their location.
About this subject
- Overview
- Eligibility and requirements
- Assessment
- Dates and times
- Further information
- Timetable(opens in new window)
Contact information
Overview
Availability | Semester 2 - Dual-Delivery |
---|---|
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: 30 October 2023
Eligibility and requirements
Prerequisites
Admission into the BH-COM Bachelor of Commerce (Degree with Honours)
AND
Code | Name | Teaching period | Credit Points |
---|---|---|---|
FNCE30007 | Derivative Securities |
Semester 1 (Online)
Semester 2 (Dual-Delivery - Parkville)
|
12.5 |
Corequisites
None
Non-allowed subjects
Students who complete this subject cannot also gain credit for
Code | Name | Teaching period | Credit Points |
---|---|---|---|
ACTL40004 | Advanced Financial Mathematics | Semester 1 (Online) |
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: 30 October 2023
Assessment
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: 30 October 2023
Dates & times
- Semester 2
Principal coordinator Thijs van der Heijden Mode of delivery Dual-Delivery (Parkville) Contact hours Three hours of lectures and seminars per week Total time commitment 120 hours Teaching period 26 July 2021 to 24 October 2021 Last self-enrol date 6 August 2021 Census date 31 August 2021 Last date to withdraw without fail 24 September 2021 Assessment period ends 19 November 2021
Time commitment details
120 hours
Last updated: 30 October 2023
Further information
- Texts
Prescribed texts
There are no specifically prescribed or recommended texts for this subject.
Last updated: 30 October 2023