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

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, 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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Start date between: and    Key dates

Melbourne, 2019, Semester 2, Day

Overview

Online enrolmentYes

Maximum enrolment sizeN/A

Enrolment information

Subject Instance Co-ordinatorDoureige Jurdi

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 30 minute written quizEquivalent to 500 words10 01, 02
One 90 minute mid-semester examinationEquivalent to 1,500 words25 01, 02, 03
One final 3-hour examinationEquivalent to 3,000 words50 01, 02, 03
One group assignment1,000 words per student15 01, 02, 03