Derivatives unit (BEA710)

Introduction

Derivatives or derivative securities are (as the name suggests) derived from other securities. Derivatives are used for a number of purposes, including insuring against price movements (hedging), increasing one’s exposure to price movements (speculation) or getting access to an otherwise hard-to-trade asset or market (market completion). The unit is comprised of three main modules: Options, Futures and Swaps. Topics covered include currency and futures contracts, pricing derivative securities, behaviour of share prices forward contracts, coupon swaps, interest rate derivative securities and other derivative securities, share options, options on stock indices, binomial, and Black-Scholes option pricing, hedging positions in options, advanced trading strategies, and exotic options. After completing this unit, students will be familiar with derivatives valuation and their use in risk management. The acquired skills will be useful in the management of financial risks in the financial sectors.

Summary

Unit name	Derivatives
Unit code	BEA710
Credit points	12.5
College/School	Tasmanian School of Business and Economics
Discipline	Finance
Coordinator	Doctor Richard Mawulawoe Ahadzie
Delivered By	University of Tasmania
Level	Postgraduate

Learning Outcomes

• Determine the mechanics of derivative instruments and their markets
• Design and communicate collaborative derivative strategies to specialist and non-specialist audiences
• Critically analyse market data to price derivative instruments
• Apply derivative solutions to satisfy the needs of key organisational stakeholders

Fee Information

Field of Education	Commencing Student Contribution 1,3	Grandfathered Student Contribution 1,3	Approved Pathway Course Student Contribution 2,3	Domestic Full Fee 4
			not applicable

¹ Please refer to more information on student contribution amounts.
² Please refer to more information on eligibility and Approved Pathway courses.
³ Please refer to more information on eligibility for HECS-HELP.
⁴ Please refer to more information on eligibility for FEE-HELP.

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Teaching

Teaching Pattern	Pre-recorded lectures provided online, every week (12 weeks), up to 1.5 hours per lecture (3-5 short lectures of maximum 20 minutes each) Blended Workshop (Face to face and via zoom), 4 blocks of 3 hour workshops, 180 minutes per workshop
Assessment	Group Assignment (20%)|Online quizzes (40%)|Take-home Examination (40%)
Timetable	View the lecture timetable | View the full unit timetable

Textbooks

Required

You will need the following text [available from the Co-op Bookshop]:   An Introduction to Derivative Securities, Financial Markets, and Risk Management (2nd Edition) by (author): Robert Jarrow (Cornell University, USA) and Arkadev Chatterjea (Indiana University, USA). Pages: 772 | July 2019. ISBN: 9781944659653 (paperback).

Recommended

Baz, J. & Chacko, G.K. (2009), Financial Derivatives: Pricing, Applications, and Mathematics (Paperback), Cambridge University Press. Cox, J. & Rubinstein, M. (1985), Options Markets, Prentice-Hall, New Jersey. Dubofsky, D.A. (1992), Options and Financial Futures: Valuation and Uses, McGraw-Hill, New York. Hull, J.C. et all (2013). Fundamentals of Futures and Options Markets: Australasian edition, Pearson Australia. Kolb, R.W. (1997), Futures, Options and Swaps, Blackwell Business Publishers, 2nd edn, Malden. McDonald, R. L. (2009), Fundamentals of Derivatives Markets. Prentice Hall, Boston. Strong, R.A. & Jeyasreedharan, N. (2017). Understanding Derivatives: Options, Futures, Swaps, MBSs, CDOs and Others (First Edition), Tilde Publishing and Distribution, Prahan.

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