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FINC71-305: Financial Derivatives

Description

This advanced finance subject explores the concept of derivatives and their associated pricing, hedging and trading strategies. This includes the rationale underlying derivative market structures and mechanics and the application and pricing of derivative products.

Subject details

TypePostgraduate
CodeFINC71-305
EFTSL0.125
FacultyBond Business School
Semesters offered
  • September 2021 [Standard Offering]
  • September 2022 [Standard Offering]
  • September 2023 [Standard Offering]
Credit10
Study areas
  • Business and Commerce
Subject fees
  • Commencing in 2021: $5,110
  • Commencing in 2022: $5,170

Learning outcomes

1. Demonstrate advanced knowledge of the contractual features and properties of forwards, futures, options and credit derivatives on a range of underlying assets and commodities.
2. Apply appropriate models to price forwards, futures, options and credit derivatives and be able to reproduce the mathematical derivations and economic rationale underlying these models.
3. Demonstrate the ability to use option trading strategies and spreads and communicate the favourable financial conditions for each.
4. Demonstrate the ability to apply and explain structural, reduced form and transition intensity-based approaches to modelling credit risk.
5. Investigate several computational derivative and asset pricing models and produce a report to communicate the potential impacts of these methodologies.

Enrolment requirements

Requisites: ?

Nil

Assumed knowledge:

Assumed knowledge is the minimum level of knowledge of a subject area that students are assumed to have acquired through previous study. It is the responsibility of students to ensure they meet the assumed knowledge expectations of the subject. Students who do not possess this prior knowledge are strongly recommended against enrolling and do so at their own risk. No concessions will be made for students’ lack of prior knowledge.

Assumed Prior Learning (or equivalent):

Restrictions: ?

Nil

Subject outlines

Subject dates

Standard Offering
Enrolment opens18/07/2021
Semester start13/09/2021
Subject start13/09/2021
Cancellation 1?27/09/2021
Cancellation 2?04/10/2021
Last enrolment26/09/2021
Withdraw – Financial?09/10/2021
Withdraw – Academic?30/10/2021
Teaching census?08/10/2021