Derivatives and Risk Management

Course code GSBS6142Units 10Level 6000Faculty of Business and LawNewcastle Business School

A broad range of derivative products is examined with a primary focus on how to use these for the management of financial risks. The course introduces standard models of pricing forward, futures and options on diverse underlying assets. The course then explores hedging methods to conduct risk management for business operations, speculative trades, and issued financial instruments. After completing this course students will be familiar with derivatives valuation and their use in risk management.

Available in 2015

Newcastle City PrecinctTrimester 1, Trimester 3
Previously offered in 2014
ObjectivesOn completion of this course, students will be able to:

1. Analyse and price diverse derivatives products to generate an optimal risk management strategy.
2. Demonstrate critical thinking, analytical and problem solving skills in the context of derivatives pricing and hedging practice.
3. Explain the binomial model and its extension in continuous time to the Black-Scholes model.
4. Demonstrate an understanding of pricing forwards, futures and options contracts
ContentThe content of this course may include:
1. Operation of derivatives market.
2. Risk and return characteristics of derivative securities.
3. Pricing forward and future contracts.
4. Mechanics of option trading.
5. Option pricing with the Binomial and Black-Scholes models.
6. Options on stock indices, futures and exotic options.
7. Managing financial risk using derivative securities.
8. Credit derivatives markets and instruments
Replacing Course(s)Not applicable.
TransitionNot applicable.
Industrial Experience0
Assumed KnowledgeGSBS6140 Investment Analysis
Modes of DeliveryInternal Mode
Teaching MethodsLecture
Assessment Items
Examination: Class
Essays / Written AssignmentsGroup
Examination: Formal
Contact HoursLecture: for 3 hour(s) per Week for Full Term
Timetables2015 Course Timetables for GSBS6142