AFC3340

Options, financial futures and other derivatives

Mr Howard Chan

6 points · Two 1-hour lectures and one 1-hour tutorial per week · Second semester · Clayton · Prerequisite: AFC2140

Objectives On completion of this subject students should be able to explain the operation of derivative markets and the risks which are present in financial markets; be able to identify the factors which affect option prices; understand the theory of the Binomial and Black-Scholes option pricing models and appraise the techniques used in pricing options on the currency, interest rate and equity markets; be able to understand how to use financial derivatives to manage currency, interest rate and equity risk; be able to understand the role of swaps in financial markets, the factors which affect the pricing of swaps and be able to value swaps.

Synopsis The subject examines options, financial futures and other derivatives such as swaps. It closely examines how these markets work, their use in financial management and the factors that determine prices in them. Topics overed include institutional aspects of how financial derivatives markets operate, use of and factors affecting the price of options in equity, currency and interest rate markets, the pricing of and uses of futures, forward contracts and swaps, new financial derivative instruments in Australia.

Assessment Written (2000 words): 20% · Examination (3 hours): 80%

Prescribed texts

Hull J Introduction to futures and options markets Prentice-Hall, 1995

Back to the 1999 Business and Economics Handbook