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 2022 in Semester 1 and Semester 2 at Caulfield. It needs BFF5915, BFC2751, BFM5915, BFC5915, BFW2751, BFF3751 or BFF5220.
- Credit points
- 6
- Offered in 2022
- Semester 1, Semester 2
- Caulfield
- Assessment
- Exam 60%
- and 1 other task
- Workload
- 144 hours
- per semester
This is the 2022 handbook entry. See the 2027 entry.
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.
- BFF5915Options, futures and risk managementNo reviews yet
- BFC2751Derivatives 1No reviews yet
- BFM5915Options, futures and risk managementNo reviews yet
- BFC5915Options, futures and risk managementNo reviews yet
- BFW2751Derivatives 1No reviews yet
- BFF3751Derivatives 1No reviews yet
- BFF5220Applied investmentsNo reviews yet
After BFF5340
No unit lists BFF5340 as a prerequisite in the 2022 handbook.
Enrolment rules
You must be enrolled in course B6001, B6002, B6003, B6004, B6005 or B6011 to undertake this unit.
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 2022
| 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 replication and risk neutral valuation as the two general methods of identifying arbitrage-free derivative prices
- 2
derive and implement binomial option pricing models
- 3
develop an understanding of the mathematics underlying the Black-Scholes-Merton model
- 4
apply numerical procedures to price exotic options
- 5
apply option pricing to evaluate real options in investment projects
- 6
analyse and value credit default swaps and other derivatives and demonstrate how they can be used for risk management and speculation
- 7
apply Value-at-Risk to quantify portfolio risk
- 8
develop an appreciation of the actual working of derivative products and markets
- 9
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
- Seminars36 hours
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 BFF5915, BFC2751, BFM5915, BFC5915, BFW2751, BFF3751 or BFF5220 before you enrol. Enrolment rules also apply.
When is BFF5340 offered?
In 2022, 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.