BFF5340 Advanced derivatives
Faculty of Business and Economics
BFF5340 Advanced derivatives is a level 5, 6-credit-point, postgraduate unit from the Faculty of Business and Economics, offered in 2020 in Semester 1 and Semester 2 at Caulfield. It needs BFC5936, BFF5250, BFF5255 or BFF5954.
- Credit points
- 6
- Offered in 2020
- Semester 1, Semester 2
- Caulfield
- Assessment
- Exam 60%
- and 1 other task
- Workload
- 144 hours
- per semester
This is the 2020 handbook entry. See the 2027 entry.
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Requisites
Before BFF5340
Prerequisites
Pass these before you enrol.
Prohibitions
You can't enrol if you have passed any of these.
After BFF5340
No unit lists BFF5340 as a prerequisite in the 2020 handbook.
Enrolment rules
Students must be enrolled in course B4001, B5001, B6001, B6002, B6003, B6004, B6005 or B6011.
Overview
This unit provides a more technical treatment of derivative analysis with focus on implementation issues. Topics include stochastic calculus concepts that underpin continuous time option pricing models, alternatives to the Black-Scholes-Merton model, numerical approaches to option pricing, valuation of interest rate derivatives, exotic options, credit derivatives, Value-at-Risk and estimation of volatilities.
Offerings in 2020
| Teaching period | Campus | Mode |
|---|---|---|
| First semester | Caulfield | On campus |
| Second semester | Caulfield | On campus |
Assessment
- Within semester assessment40%
- ExaminationThreshold hurdle60%
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 models of option pricing beyond the Black-Scholes-Merton model
- 3
apply numerical procedures to price options especially exotic options
- 4
analyse interest rate derivatives and apply term structure models
- 5
implement pricing models using technical programming languages
- 6
demonstrate how risk can be quantified using different approaches
- 7
analyse and value swaps, credit default swaps and other derivatives and demonstrate how they can be used for risk management and speculation
- 8
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 BFF5340.
Workload and teaching
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.
Learning resources
Required resources
Hull (2018) Options, Futures and Other Derivatives, 9th edition, Pearson
Contacts
- Chief Examiners
- Dr Binh Do
Common questions
What are the prerequisites for BFF5340?
You need BFC5936, BFF5250, BFF5255 or BFF5954 before you enrol. Enrolment rules also apply.
When is BFF5340 offered?
In 2020, BFF5340 runs in Semester 1 and Semester 2 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?
Yes. The exam is worth 60% of the final mark, alongside 1 other task.