Derivatives Pricing and Applications
Course Level Postgraduate
Area/Catalogue
BANK 5033
Course Level
Postgraduate
Offered Externally
Yes
Note: This offering may or may not be scheduled in every study period. Please refer to the timetable for further details.
Course ID
156001
Unit Value
4.5
University-wide elective course
No
Course owner
School of Commerce
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 |
| BANK 5014 | Financial Theory and Financial Markets |
| BUSS 5233 | Corporate Finance |
Teaching method
| Component | Duration | ||
|---|---|---|---|
| INTERNAL, CITY WEST | |||
| 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 3)
To determine the fee for this course as part of a Commonwealth Supported program, go to:
How to determine your Commonwealth Supported course fee. (Opens new window)
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:
How to determine the relevant non award tuition fee. (Opens new window)
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.
Course Coordinators
Dr Andy Guanghua Lian
Degrees this course is offered in
