333-309 Derivatives Securities

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333-309 Derivatives Securities
Credit Points	12.5
HECS Band	2
Coordinator	Dr J Handley
Prerequisites	333-201 Business Finance and one of 316-205 Introductory Econometrics, 316-206 Quantitative Methods 2 or 620-202 Statistics.
Semester	2 (view timetable)
Contact	Two 1-hour lectures and a 1-hour tutorial per week
Subject Description	Futures and forwards: the mechanics of trading, price determination, hedging strategies. Swaps: definition and valuation. Options: payoffs, arbitrage bounds, trading strategies, the binomial model, the Black-Scholes model and its relationship to the binomial, hedging, American options and dividends, options on futures, limitations of the binomial and Black-Scholes Models.
Assessment	A 3-hour end-of-semester examination (70%) and a 1-hour mid-semester test (30%).
Prescribed Texts	J C Hull, Fundamentals of Futures and Options Markets. 4th edn.

Search : Index : Faculty of Economics and Commerce : Finance
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Status:                   Official 2003
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