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Advanced Derivative Securities (FNCE40009)
HonoursPoints: 12.5Dual-Delivery (Parkville)
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About this subject
- Overview
- Eligibility and requirements
- Assessment
- Dates and times
- Further information
- Timetable(opens in new window)
Contact information
Semester 2
Thijs van der Heijden: thijs.vanderheijden@unimelb.edu.au
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: 31 January 2024
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 2 (Dual-Delivery - Parkville)
Semester 1 (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 (Dual-Delivery - 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: 31 January 2024
Assessment
Description | Timing | Percentage |
---|---|---|
Group assignment 1 (groups of 3-4 students)
| From Week 6 to Week 8 | 15% |
Group assignment 1 (groups of 3-4 students)
| From Week 9 to Week 11 | 15% |
End-of-semester examination
| During the examination period | 70% |
Last updated: 31 January 2024
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 25 July 2022 to 23 October 2022 Last self-enrol date 5 August 2022 Census date 31 August 2022 Last date to withdraw without fail 23 September 2022 Assessment period ends 18 November 2022 Semester 2 contact information
Thijs van der Heijden: thijs.vanderheijden@unimelb.edu.au
Time commitment details
120 hours
Last updated: 31 January 2024
Further information
- Texts
Prescribed texts
There are no specifically prescribed or recommended texts for this subject.
Last updated: 31 January 2024