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): | 11948 (v.2) Finance (Managerial) 512 or any previous version
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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. The course is structured into three main modules - futures, swaps and options. |
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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. |
Texts and references listed below are for your information only and current as of September 30, 2003. Some units taught offshore are modified at selected locations. Please check with the unit coordinator for up-to-date information and approved offshore variations to unit information before finalising study and textbook purchases. |
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. |
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Unit Assessment Breakdown: | Final Examination 50%. Mid-Semester Test 35%. Tutorial Participation 15%. This is by grade/mark assessment. |
Field of Education: | 81105 Investment and Securities | HECS Band (if applicable): | 2 |
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Extent to which this unit or thesis utilises online information: | Not Online | Result Type: | Grade/Mark |
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Availability
| Year | Location | Period | Internal | Area External | Central External | | 2004 | Bentley Campus | Semester 1 | Y | | Y | | 2004 | Bentley Campus | Semester 2 | Y | | Y | | 2004 | Open University HK | Trimester 1A | Y | | |
Area
External | refers to external course/units run by the School or Department, offered online or through Web CT, or offered by research. |
Central
External | refers to external course/units run through the Curtin Bentley-based Distance Education Area |
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