DERIVATIVE SECURITIES

FIN5DER

2018

Credit points: 15

Subject outline

In this subject you will focus on the pricing and valuation of derivative securities, and their use in risk management. Forward and swap contracts, together with futures and, options are the main securities considered. You will also examine in depth the role of derivative securities in the management of equity, bond and interest rate risks.

SchoolLa Trobe Business School

Credit points15

Subject Co-ordinatorLily Nguyen

Available to Study Abroad StudentsYes

Subject year levelYear Level 5 - Masters

Exchange StudentsYes

Subject particulars

Subject rules

PrerequisitesN/A

Co-requisitesN/A

Incompatible subjectsN/A

Equivalent subjectsN/A

Special conditionsN/A

Readings

Resource TypeTitleResource RequirementAuthor and YearPublisher
ReadingsOptions, futures and other derivativesPrescribedHull. J8TH EDN. PEAR COLLEGE DIV
ReadingsAnalysis of derivatives for the CFA program.RecommendedChance, D.M.AIMR, 2003.

Graduate capabilities & intended learning outcomes

01. To develop an understanding of characteristics of derivative securities and derivative markets

Activities:
Lecture, tutorial questions, quiz, mid-term test, and final exam
Related graduate capabilities and elements:
Literacies and Communication Skills (Speaking)

02. To develop an understanding of financial theories and analytical skills used to price and value derivative securities

Activities:
Lecture, tutorial questions, quiz, mid-term test, and final exam
Related graduate capabilities and elements:
Literacies and Communication Skills (Speaking)

03. To develop analytical and practical skills in trading derivative securities and using derivative securities to manage the risk exposure of an asset or a portfolio

Activities:
Lecture, tutorial questions, quiz, mid-term test and final exam
Related graduate capabilities and elements:
Literacies and Communication Skills (Speaking)
Inquiry and Analytical Skills (Critical Thinking,Inquiry/Research)
Inquiry and Analytical Skills (Critical Thinking,Inquiry/Research)

Subject options

Select to view your study options…

Start date between: and    Key dates

Melbourne, 2018, Semester 1, Day

Overview

Online enrolmentYes

Maximum enrolment sizeN/A

Enrolment information

Subject Instance Co-ordinatorLily Nguyen

Class requirements

Lecture Week: 10 - 22
One 2.0 hours lecture per week on weekdays during the day from week 10 to week 22 and delivered via face-to-face.

Tutorial Week: 11 - 22
One 1.0 hours tutorial per week on weekdays during the day from week 11 to week 22 and delivered via face-to-face.

Assessments

Assessment elementComments% ILO*
one 45 minute written quiz10 01, 02
one 90 minute mid-semester examination30 01, 02, 03
one final 3-hour examination60 01, 02, 03

Melbourne, 2018, Semester 2, Day

Overview

Online enrolmentYes

Maximum enrolment sizeN/A

Enrolment information

Subject Instance Co-ordinatorLily Nguyen

Class requirements

Lecture Week: 31 - 43
One 2.0 hours lecture per week on weekdays during the day from week 31 to week 43 and delivered via face-to-face.

Tutorial Week: 32 - 43
One 1.0 hours tutorial per week on weekdays during the day from week 32 to week 43 and delivered via face-to-face.

Assessments

Assessment elementComments% ILO*
one 45 minute written quiz10 01, 02
one 90 minute mid-semester examination30 01, 02, 03
one final 3-hour examination60 01, 02, 03