AFC3340 - Options, financial futures and other derivatives

Leader: Mr Binh Do

Offered

Clayton Second semester 2007 (Day)

Synopsis

Topics 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.

Objectives

The learning objectives of this unit are to:

• describe the characteristics of options, futures, and other derivatives;
• identify factors that affect option prices;
• apply option pricing models;
• explain the operation of futures markets and the link between spot and futures prices;
• analyse swaps, fras, caps, floors and collars in terms of their basic components for pricing purposes;
• apply critical thinking, problem solving and presentation skills to individual and/or group activities dealing with derivative instruments.

Assessment

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

Contact hours

Two 1-hour lectures and one 1-hour tutorial per week

Prerequisites

AFC2140 or AFC2240