Mr Roger Love
6 points · 3 hours per week · Second semester · Distance and Caulfield · Prerequisite: AFF2401
Objectives On completion of this subject students should be able to demonstrate an understanding of the development of derivatives markets in Australia; understand the principles of option pricing; review option pricing models; appreciate the use of hedging techniques and pricing relationships; assess the role and use of options and associated pricing relationships.
Synopsis The evolution and history of futures markets; hedging exposures using both futures and options markets; identifying arbitrage opportunities in futures markets; use of futures and options in portfolio management; exploring fundamental and technical analysis.
Assessment Assignment (4000 words): 30% · Examination (3 hours): 70%
Prescribed texts
Chance D M An introduction to derivatives 4th edn, Dryden, 1997
Back to the 1999 Business and Economics Handbook