AFF4261

Derivative products

Mr Kevin Tant

6 points · 3 hours per week · First, second semester · Caulfield

Objectives On completion of this subject participants should be able to demonstrate an understanding of the pricing and application of derivative products used in financial markets.
Synopsis Topics include interest rate swaps, including application and uses; foreign currency swaps; commodity-linked finance and energy derivatives (types, application and uses, pricing); the futures market, including interest rate, currency, equity and commodity futures; the options market, including exchange traded options and over the counter options; the forward rate agreement market; developments in derivatives markets.

Assessment Assignment and coursework: 50% · Examination (3 hours): 50%

Prescribed texts

Das S Swap financing Law Book, 1989
Jarrow R A and Rudd A Option pricing Sydney Futures Exchange, 1983
Morgan J P and Co (eds) Commodity linked finance Euromoney Books, 1992
Miron P and Swannell P Pricing and hedging swaps Euromoney Books, 1991
Siegel D R and D F Futures markets Dryden, 1990

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