fin5der derivative securities
DERIVATIVE SECURITIES
FIN5DER
2019
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 risk management.
SchoolLa Trobe Business School
Credit points15
Subject Co-ordinatorDoureige Jurdi
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
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. |
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, assignment, and final exam
- Related graduate capabilities and elements:
- Literacies and Communication Skills(Writing,Speaking,Quantitative Literacy)
- Literacies and Communication Skills(Writing,Speaking,Quantitative Literacy)
- Literacies and Communication Skills(Writing,Speaking,Quantitative Literacy)
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving,Inquiry/Research)
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, assignment, and final exam
- Related graduate capabilities and elements:
- Literacies and Communication Skills(Writing,Speaking,Quantitative Literacy)
- Literacies and Communication Skills(Writing,Speaking,Quantitative Literacy)
- Literacies and Communication Skills(Writing,Speaking,Quantitative Literacy)
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving,Inquiry/Research)
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, assignment, and final exam
- Related graduate capabilities and elements:
- Literacies and Communication Skills(Writing,Speaking,Quantitative Literacy)
- Literacies and Communication Skills(Writing,Speaking,Quantitative Literacy)
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving,Inquiry/Research)
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving,Inquiry/Research)
Subject options
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Melbourne, 2019, Semester 2, Day
Overview
Online enrolmentYes
Maximum enrolment sizeN/A
Enrolment information
Subject Instance Co-ordinatorDoureige Jurdi
Class requirements
LectureWeek: 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.
TutorialWeek: 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 element | Comments | % | ILO* |
|---|---|---|---|
| One 30 minute written quiz | Equivalent to 500 words | 10 | 01, 02 |
| One 90 minute mid-semester examination | Equivalent to 1,500 words | 25 | 01, 02, 03 |
| One final 3-hour examination | Equivalent to 3,000 words | 50 | 01, 02, 03 |
| One group assignment | 1,000 words per student | 15 | 01, 02, 03 |