Derivative Securities

Course code ACFI3130
Available in 2015
2015 Course Timetables

Description

Investment concerns financial decision-making about where to place wealth to provide for future returns. Students develop an understanding of binomial option pricing, the Black-Scholes option-pricing model, put-call parity for equity options and are introduced to currency options. The use of futures and options, payoff structures for options and arbitrage bounds will also be examined. Focus is given to options on futures. Students engage in independent or collaborative work processes developing communication experience reflective of professional practice.

Availability

Callaghan Campus

  • Semester 1 - 2015

Learning Outcomes

1. Comprehend the nature and pricing of options contracts together with their uses in portfolio management and risk reduction strategies

2. Demonstrate what a futures contract is, how futures markets are organised and the determinants of futures prices.

3. Interrelate the system of deposits, margins and marking-to-market used by futures exchanges.

4. Interpret and explain speculation and hedging strategies using futures contracts, inclusive of reasons for imperfection

5. Define the features of the major financial contracts traded on the Sydney Futures Exchange and analyse the speculation and hedging strategies using their futures contracts

6. Explain the uses of forward-rate agreements

7. Identify the major types and characteristics of options, distinguish between options and futures, and expound the factors that affect option prices

8. Apply basic option pricing theorems, including put-call parity

9. Examine the Black-Scholes and binomial option pricing models and how they are used to calculate option prices

10. Explain the characteristics and uses of foreign currency options

11. Work individually or in teams to analyse and communicate investment information leading to independent investment decision making.

12. Evaluate different financial paradigms and outcomes to inform and direct personal and professional learning.

Content

Covers analysis of derivative securities, binomial option pricing, put-call parity for stock options and the like.

Assumed Knowledge

ACFI2080, EBUS2000, STAT1060 or ECON1130.

Assessment Items

Quiz: Mid Semester Quiz

Written Assignment: Assignment

Formal Examination: Examination

Contact Hours

Lecture

Face to Face On Campus 2 hour(s) per Week for Full Term

Tutorial

Face to Face On Campus 1 hour(s) per Week for 13 Weeks