Derivative Securities (FNCE90011)

Graduate courseworkPoints: 12.5On Campus (Parkville)

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Overview

Availability
Semester 1
Semester 2
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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 securities, 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;
  • Calculate and use hedge parameters in option pricing
  • Explain factors affecting the pricing of forward and futures contracts
  • Devise appropriate hedging strategies using a mix of different derivative securities.

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: 4 March 2025

Eligibility and requirements

Prerequisites

Students must meet one of the following prerequisite options:

Option 1

Admission into or selection of one of the following:

  • MC-FINANCE Master of Finance
  • MC-FINENH Master of Finance (Enhanced)
  • GD-FINANCE Graduate Diploma in Finance

OR

Postgraduate Diploma in Finance

Option 2

All of

Code Name Teaching period Credit Points
FNCE90018 Corporate Financial Policy
Semester 2 (On Campus - Parkville)
Semester 1 (On Campus - Parkville)
 12.5
FNCE90056 Investment Management
Semester 2 (On Campus - Parkville)
Semester 1 (On Campus - Parkville)
 12.5

AND

Admission into or selection of one of the following:

  • MC-MGMT Master of Management
  • MC-MGMTFIN Master of Management (Finance)
  • MC-MGMTAFN Master of Management (Accounting and Finance)

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

DescriptionTimingPercentage

One Mid-semester Test

  • 90 minutes
From Week 5 to Week 940%

End-of semester examination

  • 3 hours
During the examination period60%

Last updated: 4 March 2025

Dates & times

  • Semester 1
    Mode of deliveryOn Campus (Parkville)
    Contact hoursThree hours per week of lectures
    Total time commitment170 hours
    Teaching period 3 March 2025 to 1 June 2025
    Last self-enrol date14 March 2025
    Census date31 March 2025
    Last date to withdraw without fail 9 May 2025
    Assessment period ends27 June 2025

    Semester 1 contact information

    Philip Gray
    philip.gray@unimelb.edu.au

  • Semester 2
    Mode of deliveryOn Campus (Parkville)
    Contact hoursThree hours per week of lectures
    Total time commitment170 hours
    Teaching period28 July 2025 to 26 October 2025
    Last self-enrol date 8 August 2025
    Census date 1 September 2025
    Last date to withdraw without fail26 September 2025
    Assessment period ends21 November 2025

    Semester 2 contact information

    Philip Gray 
    philip.gray@unimelb.edu.au

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

    Prescribed texts

    You will be advised of prescribed texts by your lecturer.

  • Related Handbook entries

    This subject contributes to the following:

    TypeName
    CourseMaster of Management (Finance)
    CourseMaster of Management (Accounting and Finance)
  • Available through the Community Access Program

    About the Community Access Program (CAP)

    This subject is available through the Community Access Program (also called Single Subject Studies) which allows you to enrol in single subjects offered by the University of Melbourne, without the commitment required to complete a whole degree.

    Please note Single Subject Studies via Community Access Program is not available to student visa holders or applicants

    Entry requirements including prerequisites may apply. Please refer to the CAP applications page for further information.

  • Available to Study Abroad and/or Study Exchange Students

    This subject is available to students studying at the University from eligible overseas institutions on exchange and study abroad. Students are required to satisfy any listed requirements, such as pre- and co-requisites, for enrolment in the subject.

Last updated: 4 March 2025