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FINC71-305: Derivative Products

Description

This subject provides a thorough understanding of derivatives markets (futures, options and swaps). As well as including descriptive information regarding derivative market structures and mechanics and the application and pricing of derivative products, this subject will also emphasise trading and hedging strategies.

Subject details

TypePostgraduate
CodeFINC71-305
EFTSL0.125
FacultyBond Business School
Semesters offered
  • September 2017 [Standard]
  • September 2018 [Standard]
Credit10
Study abroadAvailable to Study Abroad students
Study areas
  • Business and Commerce
Subject fees
  • Commencing in 2017: $4,405
  • Commencing in 2018: $4,591

Learning outcomes

1. Knowledge of the contractual features and properties of various derivatives, including options, futures and forwards
2. Determine the value of options, futures and forwards and calculate the payoffs and profits of strategies involving these products
3. Knowledge of the properties of the Wiener process and a recognition of its importance in finance
4. Ability to model standard prices processes using Ito's lemma, to state the SDEs of geometric Brownian motion and the Ornstein-Uhlenbeck process and to find their solutions.
5. Derive and apply the Black-Scholes-Merton formula
6. Understanding of the equivalent martingale measure (EMM), state pricing, and how they relate to the PDE approach to derivatives valuation.
7. Understanding of the principles of modelling the term-structure of interest rates and the ability to apply simple models
8. Demonstrate a general understanding of credit risk and credit risk models

Prerequisites

Pre-requisite: FINC71-600 - Managerial Finance OR Admission into BN-13005 - Master of Finance OR BN-13115 - Master of Finance (Professional) OR BN-13118 - Master of Actuarial Science OR BN-13119 - Master of Actuarial Science (Professional) OR BN-13120 - Master of Actuarial Practice

Subject outlines

Subject dates

Standard
Enrolment opens16/07/2017
Semester start11/09/2017
Subject start11/09/2017
Cancellation 1?25/09/2017
Cancellation 2?02/10/2017
Last enrolment24/09/2017
Last withdrawal?06/10/2017
Teaching census?06/10/2017