Derivative Securities
Subject 333-309 (2009)
Note: This is an archived Handbook entry from 2009. Search for this in the current handbook
| Credit Points: | 12.50 | ||||||||||||||||||||||||||||||||||||
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| Level: | 3 (Undergraduate) | ||||||||||||||||||||||||||||||||||||
| Dates & Locations: | This subject has the following teaching availabilities in 2009: January, - Taught on campus.
Semester 1, - Taught on campus.
Semester 2, - Taught on campus.
Timetable can be viewed here. For information about these dates, click here. | ||||||||||||||||||||||||||||||||||||
| Time Commitment: | Contact Hours: Two 1-hour lectures and a 1-hour tutorial per week; Summer semester: Twenty-four hours of lectures and twelve hours of tutorials Total Time Commitment: Not available | ||||||||||||||||||||||||||||||||||||
| Prerequisites: |
333-201 Business Finance and one of 316-205 Introductory Econometrics, 316-206 Quantitative Methods 2, 620-202 Statistics, 620-270 Applied Statistics, 620-201 Probability, 620-205 Probability for Statistics, 620-261 Introduction to Operations Research or 620-293 Engineering Mathematics. | ||||||||||||||||||||||||||||||||||||
| 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 |
Coordinator
Dr Ali Akyol| Subject Overview: |
This subject focuses on the application and valuation of derivative securities, such as forwards, futures, swaps and options. The emphasis will be on arbitrage relations, valuation, and hedging with derivatives. The topics covered include; Forwards and futures: the mechanics of trading, price determination, hedging strategies; Swaps: definition and valuation; Options: payoffs, arbitrage bounds, trading strategies, the binomial model, the Black-Scholes model and its relationship to the binomial, hedging, American options and dividends, options on futures, limitations of the binomial and Black-Scholes Models. |
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| Objectives: | On successful completion of this subject students should be able to: Explain the role of derivatives exchanges and the characteristics of derivative securities; Explain the role of arbitrage as a basis for determining the prices of derivative securities; Explain the mechanics of trading futures contracts, forward contracts and options; Design and manipulate payoff diagrams for various derivative securities; Calculate option prices using the Black-Scholes and binomial models; Explain how derivative securities can be used in hedging; Reflect on the theoretical limitations of key derivatives pricing models and on practical difficulties that arise in their implementation. |
| Assessment: | A 3-hour end-of-semester examination (70%) and a 1-hour mid-semester test (30%). |
| Prescribed Texts: | None |
| Breadth Options: | This subject potentially can be taken as a breadth subject component for the following courses:
You should visit learn more about breadth subjects and read the breadth requirements for your degree, and should discuss your choice with your student adviser, before deciding on your subjects. |
| Fees Information: | Subject EFTSL, Level, Discipline & Census Date |
| Generic Skills: |
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