Derivatives Pricing and Applications

Course aim

The aim of the course is to provide an understanding of options and the different types and applications of derivative securities. It teaches how to evaluate options and price other derivative securities with various techniques.

Course content

The following topics will be covered in the course:

Options markets and stock options
Option trading strategies
Arbitrage theory for option pricing
Ito calculus and the Black-Scholes model for valuing options
Binomial models methods for pricing exotic options
Hedging risk and the “Greeks”
Practical issues in pricing options in financial markets and the presence of “volatility smiles”

Textbook(s)

Hull, JC 2012, Options, futures and other derivatives, 8th edn, Pearson

Prerequisite(s)

Common to all relevant programs
Subject Area & Catalogue Number	Course Name
BANK 5032	Computational Methods for Finance

Specific program
Program	Subject Area & Catalogue Number	Course Name
DMMA	BUSS 5249	Managerial Finance
DMMA	BANK 5014	Financial Theory and Financial Markets

Corequisite(s)

Common to all relevant programs
Subject Area & Catalogue Number	Course Name
BUSS 5233	Corporate Finance
BANK 5014	Financial Theory and Financial Markets

Teaching method

Component	Duration
INTERNAL, CITY WEST
Preparatory	1 x 1 week
Seminar	3 hours x 10 weeks
EXTERNAL, CITY WEST, ONLINE
External	N/A x 10 weeks

Note: These components may or may not be scheduled in every study period. Please refer to the timetable for further details.

Assessment

Assignment, Case study, Examination

Fees

EFTSL*: 0.125
Commonwealth Supported program (Band 4C)
To determine the fee for this course as part of a Commonwealth Supported program, go to:
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Fee-paying program for domestic and international students
International students and students undertaking this course as part of a postgraduate fee paying program must refer to the relevant program home page to determine the cost for undertaking this course.

Non-award enrolment
Non-award tuition fees are set by the university. To determine the cost of this course, go to:
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Not all courses are available on all of the above bases, and students must check to ensure that they are permitted to enrol in a particular course.

* Equivalent Full Time Study Load. Please note: all EFTSL values are published and calculated at ten decimal places. Values are displayed to three decimal places for ease of interpretation.