Derivative Securities

Subject FNCE90020 (2016)

Note: This is an archived Handbook entry from 2016.

Credit Points: 12.5
Level: 9 (Graduate/Postgraduate)
Dates & Locations:

This subject is not offered in 2016.
Time Commitment: Contact Hours: One three-hour lecture per week
Total Time Commitment:

Estimated total time commitment of 120 hours per semester
Prerequisites:

This subject is only available to those students who would satisfy the entry criteria for the Master of Applied Finance and the Postgraduate Certificate in Applied Finance
Corequisites:

None
Recommended Background Knowledge:

None
Non Allowed Subjects:

None
Core Participation Requirements:

For the purposes of considering requests for Reasonable Adjustments under the Disability Standards for Education (Cwth 2005), and Students Experiencing Academic Disadvantage Policy, academic requirements for this subject are articulated in the Subject Description, Subject Objectives, Generic Skills and Assessment Requirements for this entry.

The University is dedicated to provide support to those with special requirements. Further details on the disability support scheme can be found at the Disability Liaison Unit website: http://www.services.unimelb.edu.au/disability/

Contact

TBC

Subject Overview:

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 strategies, basic pricing concepts, the cost-of-carry model, the Black-Scholes model, hedging and risk management techniques.
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; and
  • Calculate and use hedge parameters in option pricing.
Assessment:
  • One 3-hour end-of-semester examination (70%)
  • Assignments not exceeding 3000 words (30%)
Prescribed Texts:

You will be advised of prescribed texts by your lecturer.
Breadth Options:

This subject is not available as a breadth subject.
Fees Information: Subject EFTSL, Level, Discipline & Census Date
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

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