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.

FacultyFaculty of Business, Economics and Law

Credit points15

Subject Co-ordinatorLily Nguyen

Available to Study Abroad StudentsNo

Subject year levelYear Level 5 - Masters

Exchange StudentsNo

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.

Subject options

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Start date between: and    Key dates

Melbourne, 2014, Semester 1, Day

Overview

Online enrolmentYes

Maximum enrolment sizeN/A

Enrolment information

Subject Instance Co-ordinatorLily Nguyen

Class requirements

Tutorial Week: 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.

Lecture Week: 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 elementComments%
one 1000-word report10
one 90 minute mid-semester examination30
one final 3-hour examinationHurdle 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 subject60

Melbourne, 2014, 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 other recurrence on weekdays during the day from week 31 to week 43 and delivered via face-to-face.

Tutorial Week: 31 - 43
One 1.0 hours tutorial other recurrence on weekdays during the day from week 31 to week 43 and delivered via face-to-face.

Assessments

Assessment elementComments%
one 1000-word report10
one 90 minute mid-semester examination30
one final 3-hour examinationHurdle 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 subject60