BFF5340 Applied derivatives
Faculty of Business and Economics
BFF5340 Applied derivatives is a level 5, 6-credit-point, postgraduate unit from the Faculty of Business and Economics, offered in 2027 in Semester 1 at Caulfield. It needs BFC5915, BFF3751, BFF5915, BFM5915, BFW2751, BFF5220, BFC2751 or BFF5520.
- Credit points
- 6
- Offered in 2027
- Semester 1
- Caulfield
- Assessment
- No exam
- 3 tasks
- Workload
- 144 hours
- per semester
Reviews
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Requisites
Before BFF5340
Prohibitions
You can't enrol if you have passed any of these.
Prerequisites
Pass these before you enrol.
- BFC5915Options, futures and risk managementNo reviews yet
- BFF3751Derivatives No reviews yet
- BFF5915Options, futures and risk managementNo reviews yet
- BFM5915Options, futures and risk managementNo reviews yet
- BFW2751Derivatives 1No reviews yet
- BFF5220Applied investmentsNo reviews yet
- BFC2751Derivatives No reviews yet
- BFF5520Advanced foundations of finance No reviews yet
After BFF5340
No unit lists BFF5340 as a prerequisite in the 2027 handbook.
Enrolment rules
You must be enrolled in course B6001, B6002, B6003, B6004, B6005, B6011, B6036, B6038, B6039, B6043, B6048 or B6051 to undertake this unit.
If you are enrolled in course B6003, B6039, B6043, B6048 or B6051 there is no prerequisite.
Overview
This unit builds on a basic derivatives course to provide a rigorous yet intuitive treatment of derivatives products with an applied focus. Topics include risk neutral valuation, binomial option pricing, the Black-Scholes-Merton model and the underlying mathematics, exotic options, Monte Carlo simulation, credit derivatives, Value-at-Risk, real options, model implementation. A simulated trading activity based on real time data will further enrich your understanding of the derivatives world obtained from your prior study.
Offerings in 2027
| Teaching period | Campus | Mode |
|---|---|---|
| First semester | Caulfield | On campus |
Assessment
- Exercise20%
- Demonstration40%
- Quiz / Test40%
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
apply your understanding of option replication and risk neutral portfolio valuation as the two general methods of identifying arbitrage-free derivative prices
- 2
review and implement a binomial option pricing model
- 3
develop an understanding of the mathematical functions underlying the Black-Scholes-Merton model through the construction of option pricing tools
- 4
apply modelling procedures to price exotic options, including barrier options and binary options
- 5
analyse at-expiry option pay-off data to evaluate financial hedging and trading alternatives
- 6
analyse, value and utilise credit default swaps, currency options, interest rate options and employee stock options in common business environments
- 7
examine Value-at-Risk methods to quantify portfolio risk
- 8
develop and apply a thorough understanding of the practical working of derivative products and markets, including an understanding of the “greeks” through the use of simulated trading software
- 9
apply critical thinking to demonstrate comprehensive understanding of all topics covered within BFF5340 through a final summative assessment.
Workload and teaching
- Seminars36 hours
- 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 engages you in actively applying your knowledge, skills and attributes in interactive, collaborative and reflective activities.
Learning resources
Required resources
Hull (2018) Options, Futures and Other Derivatives, 9th edition, Pearson
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.
Contacts
- Chief Examiners
- Mr Wayne Huf
Common questions
What are the prerequisites for BFF5340?
You need BFC5915, BFF3751, BFF5915, BFM5915, BFW2751, BFF5220, BFC2751 or BFF5520 before you enrol. Enrolment rules also apply.
When is BFF5340 offered?
In 2027, BFF5340 runs in Semester 1 at Caulfield.
How much work is BFF5340?
The handbook expects about 144 hours of study across the semester. No students have rated its difficulty yet.
Does BFF5340 have an exam?
No. BFF5340 has 3 assessment tasks and no exam.