10820 (v.3) Finance (Derivative Securities) 312

Area:

School of Economics and Finance

Credits:

25.0

Contact Hours:

3.0

Lecture:

1 x 2 Hours Weekly

Tutorial:

1 x 1 Hours Weekly

Prerequisite(s):

    2807 (v.5) Finance (Managerial) 212 or any previous version
    OR
    12607 (v.3) Finance (Principles) 215 or any previous version

Syllabus:

Theoretical foundations of derivative securities, financial forwards and futures, FRAs and interest rate swaps, introduction to options, Black-Scholes greeks, Black-Scholes European option pricing, Binomial American option pricing, other greeks, term structure of volatility, strike structure of volatility, exotic options and structured products.

Unit Outcomes:

On successful completion of this unit students will have - Developed an understanding of the fastest growing of financial markets - those of derivative securities. Derivative securities are derived from other securities, and hence their role in risk management, as well as in completing markets, is of central importance.

Text and references listed above are for your information only and current as of September 30, 2003. Please check with the unit coordinator for up-to-date information.

Unit References:

Chance D., (2004), An Introduction to Derivatives and Risk Management, 6th ed., Thomson. Hull J., (2003), Options, Futures and Other Derivatives, 5th ed., Prentice Hall. McDonald R., (2003), Derivative Markets, Addison Wesley, Risk Magazine.

Unit Texts:

Hull J., Fundamentals of Futures and Options Markets, 4th ed., Prentice Hall.

Unit Assessment Breakdown:

Final Examination 50 %. Mid-Semester Test 35 %. Tutorial Participation 15%. This is by grade/mark assessment.

Year	Location	Period	Internal	Area External	Central External
2004	Bentley Campus	Semester 1	Y		Y
2004	Bentley Campus	Semester 2	Y		Y
2004	Joondalup Campus	Semester 1	Y
2004	Joondalup Campus	Semester 2	Y