Advanced Derivative Securities (FNCE90005)
Graduate courseworkPoints: 12.5On Campus (Parkville)
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.
- Use statistical software to compute prices of financial instruments according to key pricing models such as the Black-Scholes model.
- Interpret and analyse market data using statistical software to generate inputs for pricing models and to value derivative portfolios.
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: 4 March 2025
Eligibility and requirements
Prerequisites
Admission into the MC-COMFIN Master of Commerce (Finance)
OR
All of
| Code | Name | Teaching period | Credit Points |
|---|---|---|---|
| FNCE30007 | Derivative Securities |
Semester 2 (On Campus - Parkville)
Semester 1 (On Campus - Parkville)
|
12.5 |
| FNCE40002 | Advanced Investments | Semester 1 (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: 4 March 2025
Assessment
| Description | Timing | Percentage |
|---|---|---|
Two group assignments (normally 3-4 students per group)
| From Week 7 to Week 12 | 30% |
End-of-semester examination
| During the examination period | 70% |
Last updated: 4 March 2025
Dates & times
- Semester 2
Principal coordinator Thijs van der Heijden Mode of delivery On Campus (Parkville) Contact hours One 3-hour seminar per week Total time commitment 170 hours Teaching period 28 July 2025 to 26 October 2025 Last self-enrol date 8 August 2025 Census date 1 September 2025 Last date to withdraw without fail 26 September 2025 Assessment period ends 21 November 2025
Time commitment details
Estimated total time commitment of 170 hours per semester
What do these dates mean
Visit this webpage to find out about these key dates, including how they impact on:
- Your tuition fees, academic transcript and statements.
- And for Commonwealth Supported students, your:
- Student Learning Entitlement. This applies to all students enrolled in a Commonwealth Supported Place (CSP).
Subjects withdrawn after the census date (including up to the ‘last day to withdraw without fail’) count toward the Student Learning Entitlement.
Last updated: 4 March 2025
Further information
- Texts
- Related Handbook entries
This subject contributes to the following:
Type Name Course Master of Commerce (Finance) Course Master of Commerce (Accounting)
Last updated: 4 March 2025