BFC3340 Advanced derivatives
Faculty of Business and Economics
BFC3340 Advanced derivatives is a level 3, 6-credit-point, undergraduate unit from the Faculty of Business and Economics, offered in 2027 in Semester 1 and Semester 2 at Clayton. It needs BFC2751, BFF3751 or BFW2751.
- Credit points
- 6
- Offered in 2027
- Semester 1, Semester 2
- Clayton
- Assessment
- Exam 40%
- and 2 other tasks
- Workload
- 144 hours
- per semester
Reviews
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Requisites
Before BFC3340
Prerequisites
Pass these before you enrol.
After BFC3340
No unit lists BFC3340 as a prerequisite in the 2027 handbook.
Enrolment rules
To be successful in this unit, background knowledge and application of maths is required at the equivalent of VCE Year 12 Higher level. You may have satisfied this by completing relevant prerequisite unit/s, or you have covered relevant topics in your final years of secondary study. You should self-assess your maths competency prior to enrolling in this unit.
Overview
This unit builds on Derivatives to deepen conceptual understanding of option pricing and derivatives analysis. Topics include stochastic calculus concepts that underpin the Black-Scholes-Merton model, numerical approaches to option pricing, valuation of interest rate derivatives, exotic options, credit derivatives.
Offerings in 2027
| Teaching period | Campus | Mode |
|---|---|---|
| First semester | Clayton | Flexible |
| Second semester | Clayton | Flexible |
Assessment
- Exercise20%
- Demonstration40%
- Examination40%
Assessment details may change. Please refer to the assessment information in Moodle closer to the start of the teaching period.
Learning outcomes
When you finish this unit, you should be able to:
- 1
develop an understanding of Wiener processes and Ito's Lemma as the basic building blocks for continuous time option pricing models. Derive the Black-Scholes-Merton differential equations
- 2
apply numerical procedures to price options especially exotic options
- 3
analyse interest rate derivatives
- 4
implement pricing models using technical programming languages
- 5
analyse and value swaps, credit default swaps and other derivatives and demonstrate how they can be used for risk management and speculation
- 6
apply critical thinking, problem solving and presentation skills to individual and/or group activities dealing with derivative instruments and demonstrate in an individual summative assessment task the acquisition of a comprehensive understanding of the topics covered by BFC3340.
Workload and teaching
- Tutorials12 hours
- Seminars24 hours
- Teaching approachSimulation or virtual practice
- Teaching approachProblem-based learning
- Teaching approachActive learning
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. You are expected to complete all pre-class activities prior to your scheduled class, and post-class activities should be completed after your scheduled class. Learning activities may include a combination of teacher directed, peer directed and online engagement activities.
This unit allows you to engage in guided, immersive experiences to develop relevant skills, knowledge and attitudes through simulation or virtual practice.
This unit includes problem-based learning approaches, where you engage in research, integrate theory and practice and apply knowledge and skills to develop viable solutions in response to a problem or set of problems.
This unit engages you in actively applying your knowledge, skills and attributes in interactive, collaborative and reflective activities.
Learning resources
Technology resources
There may be an additional cost associated with purchasing a physical and/or virtual calculator. Specific details will be provided in the Learning Management System by commencement of Orientation week.
Where it fits
BFC3340 is part of 1 area of study in the 2027 handbook.
Contacts
- Chief Examiners
- Dr Binh Do
Common questions
What are the prerequisites for BFC3340?
You need BFC2751, BFF3751 or BFW2751 before you enrol. Enrolment rules also apply.
When is BFC3340 offered?
In 2027, BFC3340 runs in Semester 1 and Semester 2 at Clayton.
How much work is BFC3340?
The handbook expects about 144 hours of study across the semester. No students have rated its difficulty yet.
Does BFC3340 have an exam?
Yes. The exam is worth 40% of the final mark, alongside 2 other tasks.
Which majors and minors include BFC3340?
BFC3340 is part of Finance.