MAF308 - Derivative and Fixed Income Securities

Unit details

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Year:2019 unit information
Enrolment modes:Trimester 1: Burwood (Melbourne), Online
Trimester 2: Burwood (Melbourne), Online
Credit point(s):1
EFTSL value:0.125
Trimester 1 Unit Chair:

Mong Shan Ee

Trimester 2 Unit Chair:

Peipei Wang

Prerequisite:

MAF101 and MAF203

Corequisite:Nil
Incompatible with: Nil
Scheduled learning activities - campus:

1 x 2 hour class, 1 x 1 hour seminar per week

Scheduled learning activities - 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

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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