DERIVATIVE SECURITIES

FIN5DER

2014

Credit points: 15

Subject outline

The focus in this subject is 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. The role of derivative securities in the management of equity, bond and interest rate risk is also examined in depth.

Faculty: Faculty of Business, Economics and Law

Credit points: 15

Subject Co-ordinator: Lily Nguyen

Available to Study Abroad Students: No

Subject year level: Year Level 5 - Masters

Exchange Students: No

Subject particulars

Subject rules

Prerequisites: N/A

Co-requisites: N/A

Incompatible subjects: N/A

Equivalent subjects: N/A

Special conditions: N/A

Learning resources

Readings

Resource Type	Title	Resource Requirement	Author and Year	Publisher
Readings	Options, futures and other derivatives	Prescribed	Hull. J	8TH EDN. PEAR COLLEGE DIV
Readings	Analysis of derivatives for the CFA program.	Recommended	Chance, D.M.	AIMR, 2003.

Melbourne, 2014, Semester 1, Day

Overview

Online enrolment: Yes

Maximum enrolment size: N/A

Enrolment information:

Subject Instance Co-ordinator: Lily Nguyen

Class requirements

TutorialWeek: 10 - 22
One 1.0 hours tutorial other recurrence on weekdays during the day from week 10 to week 22 and delivered via face-to-face.

LectureWeek: 10 - 22
One 2.0 hours lecture other recurrence on weekdays during the day from week 10 to week 22 and delivered via face-to-face.

Assessments

Assessment element	Comments	%
one 1000-word report		10
one 90 minute mid-semester examination		30
one final 3-hour examination	Hurdle requirement: Students must achieve at least 50% in the final examination as well as a minimum of 50% in the sum of the marks for all assessment tasks to pass the subject	60

Melbourne, 2014, Semester 2, Day