Derivative Securities

Subject 333-630 (2008)

Note: This is an archived Handbook entry from 2008.Search for this in the current handbook

Credit Points: 12.500
Level: Graduate/Postgraduate
Dates & Locations:

This subject has the following teaching availabilities in 2008:

Semester 1, - Taught on campus.
Pre-teaching Period Start not applicable
Teaching Period not applicable
Assessment Period End not applicable
Last date to Self-Enrol not applicable
Census Date not applicable
Last date to Withdraw without fail not applicable

Semester 2, - Taught on campus.
Pre-teaching Period Start not applicable
Teaching Period not applicable
Assessment Period End not applicable
Last date to Self-Enrol not applicable
Census Date not applicable
Last date to Withdraw without fail not applicable


Timetable can be viewed here. For information about these dates, click here.
Time Commitment: Contact Hours: three hours per week of lectures (Semester 1, Semester 2).
Total Time Commitment: Not available
Prerequisites: This subject is only available to those students that have successfully completed the Postgraduate Diploma in Finance or who have successfully completed 100 points of the Master of Financial Management.
Corequisites: None
Recommended Background Knowledge: None
Non Allowed Subjects: None
Core Participation Requirements:

For the purposes of considering request for Reasonable Adjustments under the Disability Standards for Education (Cwth 2005), and Student Support and Engagement Policy, academic requirements for this subject are articulated in the Subject Overview, Learning Outcomes, Assessment and Generic Skills sections of this entry.

It is University policy to take all reasonable steps to minimise the impact of disability upon academic study, and reasonable adjustments will be made to enhance a student's participation in the University's programs. Students who feel their disability may impact on meeting the requirements of this subject are encouraged to discuss this matter with a Faculty Student Adviser and Student Equity and Disability Support: http://services.unimelb.edu.au/disability
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 securities, basic pricing concepts, the cost-of-carry model, the Black-Scholes model, hedging and risk management techniques.
Assessment: Three hours of examination (70%) and assignments totalling no more than 3000 words (30%).
Prescribed Texts: None
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 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.

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.
Related Course(s): Master of Financial Management

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