Introduction to Derivative Securities
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At the completion of this subject students will be able to:
- construct derivatives theory from abstract theoretical concepts
- adapt derivatives theory to market practice
- evaluate the financial economic implications of financial engineering methods
- analyse and communicate financial derivatives pricing and risk management ideas in a clear and succinct manner.
- Derivatives Market Overview
- Interest Rates
- Pricing of Forward and Futures Contracts
- Hedging Strategies using Futures and Interest Rate Futures
- Portfolio of Stock Options and Option trading Strategies
- Black-Scholes Model
- Options on Stock Indices
- Currencies and Futures
You must either have successfully completed the following subject(s) before starting this subject, or currently be enrolled in the following subject(s) in a prior study period; or enrol in the following subject(s) to study prior to this subject:
Please note that your enrolment in this subject is conditional on successful completion of these prerequisite subject(s). If you study the prerequisite subject(s) in the study period immediately prior to studying this subject, your result for the prerequisite subject(s) will not be finalised prior to the close of enrolment. In this situation, should you not complete your prerequisite subject(s) successfully you should not continue with your enrolment in this subject. If you are currently enrolled in the prerequisite subject(s) and believe you may not complete these all successfully, it is your responsibility to reschedule your study of this subject to give you time to re-attempt the prerequisite subject(s)
No additional requirements
This unit covers the theoretical foundations of derivative securities, financial forwards and futures, forward rate agreements (FRAs) and swaps, model-independent option valuation, geometric Brownian motion, Black-Scholes- Merton model, binomial model, option Greeks, and model risk. This unit also discusses the impact of quantum Fintech on the derivatives market. This unit includes analyzing a business case study and use Eikon real derivatives market data to solve work integrated problems.
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- Case Study (35%)
- Assignment (40%)
- Semester Test (25%)
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