Available in 2024
Course code

GSBS6142

Units

10 units

Level

6000 level

Course handbook

Description

A broad range of derivative products are 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.


Availability2024 Course Timetables

Newcastle City Precinct

  • Trimester 2 - 2024

Learning outcomes

On successful completion of the 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


Content

The 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

Assessment items

In Term Test: In-Class test

Written Assignment: Written Assignment

Formal Examination: Formal Examination


Contact hours

Trimester 2 - 2024 - Newcastle City Precinct

Lecture-1
  • Face to Face On Campus 2 hour(s) per week(s) for 12 week(s) starting in week 1
Online Activity-1
  • Self-Directed 6 hour(s) per term
  • For Face to face mode - 6 hrs of online content per term provided for self directed learning

Course outline