DERIVATIVE SECURITIES
FIN5DER
2020
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 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. Compare and contrast the 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 (Quantitative Literacy)
- Inquiry and Analytical Skills (Critical Thinking,Creative Problem-solving,Inquiry/Research)
02. Demonstrate 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 (Quantitative Literacy)
- Inquiry and Analytical Skills (Critical Thinking,Creative Problem-solving,Inquiry/Research)
03. Demonstrate 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:
- 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, 2020, 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 element | Comments | % | ILO* |
|---|---|---|---|
| Online and/or in-class assessment tasks | Equivalent to 500 words | 10 | 01, 02 |
| One hour formative examination | Equivalent to 1000 words | 10 | 01, 02, 03 |
| Two hour final examination | Equivalent to 2000 words | 50 | 01, 02, 03 |
| Individual assignment | Equivalent to 2000 words | 30 | 01, 02, 03 |