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MAF308 - Derivative and Fixed Income Securities

Year:

2020 unit information

Important Update:

Classes and seminars in Trimester 2, 2020 will be online.

Last updated: 2 June 2020

Enrolment modes:Trimester 1: Burwood (Melbourne), Online
Trimester 2: Burwood (Melbourne), Online
Credit point(s):1
EFTSL value:0.125
Unit Chair:Trimester 1: Mong Shan Ee
Trimester 2: Peipei Wang
Prerequisite:

MAF101 and MAF203

Corequisite:Nil
Incompatible with: Nil
Typical study commitment:

Students will on average spend 150 hours over the teaching period undertaking the teaching, learning and assessment activities for this unit.

Scheduled learning activities - campus:

1 x 2 hour class, 1 x 1 hour seminar per week

Scheduled learning activities - cloud:

Online independent and collaborative learning activities including 3 scheduled online seminars

Content

This unit focuses on the conceptual aspects concerning the mechanics and pricing of the three main categories of derivative securities options, forwards/futures and swaps. Specific topics that will be covered include basic pricing concepts, arbitrage and trading strategies, Black-Scholes analysis, the Binomial model and hedging principles.

 

These are the Learning Outcomes (ULOs) for the Unit
At the successful completion of this Unit, successful students can:

 Deakin Graduate Learning Outcomes

ULO1

Develop and demonstrate knowledge of forwards, futures, options and their market.

GLO1: Discipline-specific knowledge and capabilities

ULO2

Justify the mechanics of no arbitrage and apply to real world situations. Find fair value for financial instruments.

GLO4: Critical thinking
GLO5: Problem solving

ULO3

Determine price of forwards, futures, options and swaps.

GLO5: Problem solving

ULO4

Develop and demonstrate effective written communication skills, including the ability to clearly explain graphs, data, statistics and algebra, in a manner appropriate for finance peers and academics.

GLO1: Discipline-specific knowledge and capabilities
GLO4: Critical thinking
GLO5: Problem solving

 

These Unit Learning Outcomes are applicable for all teaching periods throughout the year

Assessment

Assessment Description Student output Grading and weighting
(% total mark for unit)		 Indicative due week 
Assessment 1: Cloud (Online) - Individual test   10% Week 5
Assessment 2: (Group of 3 students) - Problem solving and report 3,000 words 30% Week 9
Examination 2-hours 60% Exam period

The assessment due weeks provided may change. The Unit Chair will clarify the exact assessment requirements, including the due date, at the start of the teaching period.

Hurdle requirement

Hurdle requirement: achieve at least 50% of the marks available on the examination and 50% of total assessment

Learning Resource

The texts and reading list for the unit can be found on the University Library via the link below: MAF308 Note: Select the relevant trimester reading list. Please note that a future teaching period's reading list may not be available until a month prior to the start of that teaching period so you may wish to use the relevant trimester's prior year reading list as a guide only.

Unit Fee Information

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