333-309 Derivative Securities

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333-309 Derivative Securities
Credit Points	12.5
Coordinator	Assoc Prof J Handley
Prerequisites	333-201 Business Finance and one of 316-205 Introductory Econometrics, 316-206 Quantitative Methods 2 or 620-202 Statistics.
Semester	1, repeat 2, Summer (view timetable)
Contact	Two 1-hour lectures and a 1-hour tutorial per week; Summer semester: Twenty-four hours of lectures and twelve hours of tutorials
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.
Generic Skills	High level of development: problem solving; statistical reasoning; application of theory to practice; synthesis of data and other information; evaluation of data and other information. Moderate level of development: written communication; interpretation and analysis; critical thinking; use of computer software. Some level of development: oral communication; collaborative learning; team work; accessing data and other information from a range of sources.
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).

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