BFF5290 - Advanced derivatives and quantitative finance - 2017

6 points, SCA Band 3, 0.125 EFTSL

Postgraduate - Unit

Refer to the specific census and withdrawal dates for the semester(s) in which this unit is offered.

Faculty

Business and Economics

Organisational Unit

Department of Banking and Finance

Coordinator(s)

Dr John Vaz

Unit guides

Offered

Caulfield

  • Second semester 2017 (Evening)

Synopsis

This unit is intended to allow students to achieve learning and skills in advanced topics in applied derivatives and quantitative finance. This course is designed to explore topics for which the basic options and derivatives pricing prior study has already laid the foundations. It builds on existing knowledge of derivatives and asset pricing models, and seeks to evaluate and apply numeral methods in finance, continuous time finance, term structure models, the Greeks, credit derivatives, interest rate derivatives, option pricing models, exchange rate derivatives, interest rate parity and the value at risk. Asset pricing-methods are applied to the pricing of vanilla and exotic options and corporate liabilities, forwards, futures, as well as fixed income and FX derivatives.

Outcomes

The learning goals associated with this unit are to:

  1. develop advanced numerical methods and quantitative finance skills useful in pricing derivative instruments
  2. develop skills in the pricing of derivatives beyond the basic Black Scholes and binomial models
  3. critically evaluate and apply advanced models such as the heath-arrow models
  4. apply critical thinking, problem solving and presentation skills in individual and/or group activities dealing with advanced derivatives and quantitative finance and demonstrate in an individual summative assessment task the acquisition of a comprehensive understanding of the topics covered in this unit.

Assessment

Within semester assessment: 40% + Examination: 60%

Workload requirements

Minimum total expected workload to achieve the learning outcomes for this unit is 144 hours per semester typically comprising a mixture of scheduled learning activities and independent study. Independent study may include associated readings, assessment and preparation for scheduled activities. The unit requires on average three/four hours of scheduled activities per week. Scheduled activities may include a combination of teacher directed learning, peer directed learning and online engagement.

See also Unit timetable information

Chief examiner(s)

Prerequisites

Students must have passed BFF5915 or AFF9150 AND BFF5040 or AFF5040 AND ETF9300 or ETF5930 before undertaking this unit

Co-requisites

Students must be enrolled in course 3818, 3850 or 4412 to undertake this unit.