MAF308 - Derivative and Fixed Income Securities
Unit details
Year: | 2020 unit information |
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Important Update: | Classes and seminars in Trimester 2, 2020 will be online. Last updated: 2 June 2020 |
Enrolment modes: | Trimester 1: Burwood (Melbourne), Online Trimester 2: Burwood (Melbourne), Online |
Credit point(s): | 1 |
EFTSL value: | 0.125 |
Unit Chair: | Trimester 2: Peipei Wang Trimester 1: Mong Shan Ee |
Prerequisite: | MAF101 and MAF203 |
Corequisite: | Nil |
Incompatible with: | Nil |
Typical study commitment: | Students will on average spend 150 hours over the teaching period undertaking the teaching, learning and assessment activities for this unit. |
Scheduled learning activities - campus: | 1 x 2 hour class, 1 x 1 hour seminar per week |
Scheduled learning activities - cloud: | 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.
| These are the Learning Outcomes (ULOs) for the Unit | Deakin Graduate Learning Outcomes |
ULO1 | Develop and demonstrate knowledge of forwards, futures, options and their market. | GLO1: Discipline-specific knowledge and capabilities |
ULO2 | Justify the mechanics of no arbitrage and apply to real world situations. Find fair value for financial instruments. | GLO4: Critical thinking |
ULO3 | Determine price of forwards, futures, options and swaps. | GLO5: Problem solving |
ULO4 | Develop and demonstrate effective written communication skills, including the ability to clearly explain graphs, data, statistics and algebra, in a manner appropriate for finance peers and academics. | GLO1: Discipline-specific knowledge and capabilities |
These Unit Learning Outcomes are applicable for all teaching periods throughout the year
Assessment
Assessment Description | Student output | Grading and weighting (% total mark for unit) | Indicative due week |
Assessment 1: Cloud (Online) - Individual test | 10% | Week 5 | |
Assessment 2: (Group of 3 students) - Problem solving and report | 3,000 words | 30% | Week 9 |
Examination | 2-hours | 60% | Exam period |
The assessment due weeks provided may change. The Unit Chair will clarify the exact assessment requirements, including the due date, at the start of the teaching period.
Hurdle requirement
Hurdle requirement: achieve at least 50% of the marks available on the examination and 50% of total assessment
Learning Resource
The texts and reading list for the unit can be found on the University Library via the link below: MAF308 Note: Select the relevant trimester reading list. Please note that a future teaching period's reading list may not be available until a month prior to the start of that teaching period so you may wish to use the relevant trimester's prior year reading list as a guide only.
Unit Fee Information
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