Note: This is an archived Handbook entry from 2015.
|Dates & Locations:|| |
This subject has the following teaching availabilities in 2015:Semester 2, Parkville - Taught on campus.
Timetable can be viewed here. For information about these dates, click here.
|Time Commitment:||Contact Hours: Seminars, lectures and tutorials totalling 3 hours per week |
Total Time Commitment:
Estimated total time commitment of 120 hours per semester
Either FNCE30007 Derivative Securities and FNCE40002 Advanced Investments or admission into the Master of Commerce – Finance.
Study Period Commencement:
Semester 1, Semester 2
|Recommended Background Knowledge:|| |
|Non Allowed Subjects:|| |
|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/
CoordinatorDr Thijs Van Der Heijden
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.
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;
|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|
On successful completion of this subject, students should have improved the following generic skills:
Doctor of Philosophy - Business and Economics |
Master of Commerce (Finance)
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