FINA3306 Derivative Strategies and Pricing
- 6 points
|Not available in 2020||UWA (Perth)||Face to face|
- Details for undergraduate courses
- Level 3 option in the Finance major sequence
- The area of knowledge for this unit is Management and Commerce
- Category B broadening unit for students
- Level 3 elective
- This unit builds on the Level 2 unit FINA2204 Derivative Products and Markets to study the kinds of derivatives used in practice, the principles of pricing them, and their applications in the modern financial world. The unit develops the theoretical frameworks, financial, probabilistic and statistical, essential to understanding modern practices in derivative pricing and applications such as portfolio insurance, dynamic hedging and risk management. The Black-Scholes-Merton framework and risk-neutral valuation are explored. The unit also looks at the role derivatives have played in financial crises.
- Students are able to (1) demonstrate how to value a variety of derivative contracts and strategies; (2) identify potential arbitrage opportunities and utilise these to price derivatives; (3) understand the Black-Scholes-Merton option pricing framework, its assumptions, derivation and implications; (4) explore volatility structures (such as smiles and smirks) and their relation to theoretical pricing models; (5) use industry relevant tools (such as spreadsheets and financial information systems) to access, process and calculate derivative prices; (6) explain the risks embedded in financial derivatives and how they have contributed to past financial crises; and (7) demonstrate the ability to give oral presentations that are clear and coherent.
- Indicative assessments in this unit are as follows: (1) tutorial presentations; (2) assignments; and (3) examination. Further information is available in the unit outline.
Supplementary assessment is not available in this unit except in the case of a bachelor's pass degree student who has obtained a mark of 45 to 49 overall and is currently enrolled in this unit, and it is the only remaining unit that the student must pass in order to complete their course.
- Unit rules
- FINA2204 Derivative Products and Markets
FINA2205 Quantitative Methods for Finance
- Contact hours
- lectures/tutorials/seminars/workshops: up to 3 hours per week
- The availability of units in Semester 1, 2, etc. was correct at the time of publication but may be subject to change.
- All students are responsible for identifying when they need assistance to improve their academic learning, research, English language and numeracy skills; seeking out the services and resources available to help them; and applying what they learn. Students are encouraged to register for free online support through GETSmart; to help themselves to the extensive range of resources on UWA's STUDYSmarter website; and to participate in WRITESmart and (ma+hs)Smart drop-ins and workshops.
- Books and other material wherever listed may be subject to change. Book lists relating to 'Preliminary reading', 'Recommended reading' and 'Textbooks' are, in most cases, available at the University Co-operative Bookshop (from early January) and appropriate administrative offices for students to consult. Where texts are listed in the unit description above, an asterisk (*) indicates that the book is available in paperback.