Introduction to Derivative Securities
Take your first foray into derivative securities. These are usually a form of agreement to buy or sell an asset at a fixed price on or before a certain date. You’ll cover areas such as financial forwards and futures, swaps and model risk.
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- 01 Mar 2021
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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 have successfully completed the following subject(s) before starting this subject:
No special 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.
Please Note: If it’s your first time studying a Curtin University subject you’ll need to complete their compulsory ‘Academic Integrity Program’. It only takes two hours to complete online, and provides you with vital information about studying with Curtin University. The Academic Integrity Program is compulsory, so if it’s not completed your subject grades will be withheld.
Find out more about the Academic Integrity module.
- Case Study (35%)
- Assignment (40%)
- Semester Test (25%)
Current study term: 28 Feb 21 to 30 May 21
Check the learning management system (LMS) of your university for textbook details.