AFF5290 - Dealing in derivative products

Leader: Dr Rod Lambert

Offered

Caulfield First semester 2007 (Day)
Caulfield First semester 2007 (Evening)

Synopsis

Topics include comparison and differences between dealing procedures for physical markets and derivative markets; dealing in options including interest rate, currency and equity options; dealing in swaps, including interest rate and currency swaps; dealing in the futures markets, including interest rate and currency futures.

Objectives

The learning goals associated with this unit are to:

• explain the characteristics of basic derivatives (options, forwards, futures, and swaps) and the derivative markets they are traded in; the principles used for pricing these basic derivatives; and the strategies used for trading these basic derivatives
• use the foundation above to build their knowledge of advanced derivatives, including forward rate agreements, interest rate options, swaptions, and related strategies for the use of these financial instruments
• apply this learning to the simulated market, correcting misconceptions as they trade; discover prices; discover the major economic drivers of markets including arbitrage, opportunity costs and costs of carry, time value of money and financial instruments, and risk preferences
• develop generic student attributes including critical thought and analysis, problem solving, and written communication skills.

Assessment

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

Contact hours

3 hours per week

Prohibitions

AFF4291