MAF308 - Derivative and Fixed Income Securities
Unit details
Year | 2018 unit information |
---|---|
Enrolment modes: | Trimester 1: Burwood (Melbourne), Online Trimester 2: Burwood (Melbourne), Online |
Credit point(s): | 1 |
EFTSL value: | 0.125 |
Unit chair: | Peipei Wang (Trimester 2) |
Prerequisite: | MAF101 and MAF203 |
Corequisite: | Nil |
Incompatible with: | Nil |
Contact hours: | Campus: 1 x 2 hour class, 1 x 1 hour seminar per week Cloud (online): Online independent and collaborative learning activities including 3 scheduled online seminars |
Content
This unit focuses on the conceptual aspects concerning the mechanics and pricing of the three main categories of derivative securities options, forwards/futures and swaps. Specific topics that will be covered include basic pricing concepts, arbitrage and trading strategies, Black-Scholes analysis, the Binomial model and hedging principles.
Assessment
Assessment 1 - Cloud(Online) - Individual test 10%
Assessment 2 (Group of 3 students) - Problem solving and report - 3,000 words 30%
Examination 2-hours 60%
Hurdle requirement: achieve at least 50% of the marks available on the examination and 50% of total assessment
Unit Fee Information
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