BFC3340

"Options, financial futures and other derivatives"

Unit Guide
Semester 2, 2014

Copyright Monash University 2014. All rights reserved. Except as provided in the Copyright Act 1968,
this work may not be reproduced in any form without the written permission of the host Faculty and
School/Department.
The information contained in this unit guide is correct at time of publication. The University has the right
to change any of the elements contained in this document at any time.
Last updated: 28 Jul 2014

Table of Contents
BFC3340 "Options, financial futures and other derivatives" - Semester 2, 2014................................1
Mode of Delivery..............................................................................................................................1
Workload requirements....................................................................................................................1
Unit Relationships............................................................................................................................1
Prerequisites........................................................................................................................1
Prohibitions..........................................................................................................................1
Chief Examiner(s)........................................................................................................................................1
Campus Lecturer(s).....................................................................................................................................1
Tutor(s)........................................................................................................................................................1
Clayton.............................................................................................................................................1
Your feedback to Us....................................................................................................................................2
Previous Student Evaluations of this Unit....................................................................................................2
Academic Overview...................................................................................................................................3
Learning Outcomes.........................................................................................................................3
Unit Schedule.............................................................................................................................................4
Teaching Approach..........................................................................................................................4
Assessment Summary.....................................................................................................................4
Second marking...................................................................................................................5
Return of final marks............................................................................................................5
Assessment criteria..............................................................................................................5
Assessment Requirements......................................................................................................................6
Assessment Tasks...........................................................................................................................6
Assessment task 1...............................................................................................................6
Assessment task 2...............................................................................................................6
Assessment task 3...............................................................................................................7
Assessment task 4...............................................................................................................7
Examination(s).............................................................................................................................................7
Examination 1..................................................................................................................................7
Learning resources......................................................................................................................................8
Feedback to you..........................................................................................................................................8
Assignment submission...............................................................................................................................8
Online submission...........................................................................................................................8
Prescribed text(s) and readings.......................................................................................................8
Other Information......................................................................................................................................9
Policies............................................................................................................................................9
Graduate Attributes Policy...................................................................................................9
Student Charter...........................................................................................................................................9
Student services..........................................................................................................................................9
Monash University Library...........................................................................................................................9
Moodle 2......................................................................................................................................................9
Disability Liaison Unit................................................................................................................................10

BFC3340 "Options, financial futures and other derivatives" Semester 2, 2014

Topics include institutional aspects of how financial derivatives markets operate, use of and factors
affecting the price of options in equity, currency and interest rate markets, the pricing of and uses of
futures, forward contracts and swaps, new financial derivative instruments in Australia.

Mode of Delivery
Clayton (Day)

Workload requirements
Minimum total expected workload equals 144 hours per semester

Unit Relationships
Prerequisites
AFC2140 or BFC2140

Prohibitions
AFF3751, BFF3751, AFC3340

Chief Examiner(s)
Professor Jonathan Batten (First semester)
Associate Professor Paul Lajbcygier (Second semester)

Campus Lecturer(s)
Tutor(s)
Clayton
Mr Mikhail Bhatia
Campus: Caulfield
Email: Mikhail.Bhatia@monash.edu
Contact hours: TBA
Mr Mikhail Tupitsyn
Campus: Clayton
Contact hours: TBA

BFC3340 "Options, financial futures and other derivatives" - Semester 2, 2014

Your feedback to Us
Monash is committed to excellence in education and regularly seeks feedback from students, employers
and staff. One of the key formal ways students have to provide feedback is through the Student
Evaluation of Teaching and Units (SETU) survey. The Universitys student evaluation policy requires that
every unit is evaluated each year. Students are strongly encouraged to complete the surveys. The
feedback is anonymous and provides the Faculty with evidence of aspects that students are satisfied
and areas for improvement.
For more information on Monashs educational strategy, see:
www.monash.edu.au/about/monash-directions/ and on student evaluations, see:
www.policy.monash.edu/policy-bank/academic/education/quality/student-evaluation-policy.html

Previous Student Evaluations of this Unit

In response to the SETU question "The feedback I received in the subject was useful", the major change
is the submission of 5 small fortnightly Excel assessments, where students can submit, obtain feedback
indiviudally tailored quickly and then resubmit to fix errors and improve their marks. This should make the
assessment feedback useful. Also, we will have three in tutorial Question & Answer sessions where
tutors will ask students about how they undertook the Excel assignments which should provide them with
the opportunity to obtain relevant feedback.

If you wish to view how previous students rated this unit, please go to
https://emuapps.monash.edu.au/unitevaluations/index.jsp

Academic Overview
Learning Outcomes
The learning goals associated with this unit are to:
1. describe the characteristics of options, futures, and other derivatives
2. identify factors that affect option prices
3. apply option pricing models
4. explain the operation of futures markets and the link between spot and futures prices
5. analyse swaps, FRAs, caps, floors and collars in terms of their basic components for pricing
purposes
6. demonstrate how the derivatives can be used for risk management, speculation and arbitrage
7. 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 BFC3340.

Unit Schedule
Week

Activities

Assessment

No formal assessment or activities are

undertaken in week 0

Introduction to Derivatitives (Hull Ch. 1)

Mechanics of Futures Markets (Hull Ch.2)

Excel Assignment 1

Determination of Forward & Futures Prices (Hull Ch.

5)

Resubmit Assignment 1

Hedging with Futures (Hull Ch.3)

Excel Assignment 2

Mechanics of Options Markets (Hull Ch. 9&10)

Resubmit Assignment 2 + Excel QA +

Excel Test

Option Trading Strategies (Hull Ch.11)

Excel Assignment 3

Option Pricing: The Binomial Model (Hull Ch. 12)

Resubmit Assignment 3

Black, Scholes, Merton Option Pricing (Hull Ch. 14)

Excel Assignment 4

Option on Stock Indices, Currencies & Futures (Hull

Ch.16)

Resubmit Assignment 4 + Excel QA+

Excel Test

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Option Hedging & The Greek Letters (Hull, Ch. 18)

Excel Assignment 5

11

Swaps (Hull, Ch. 7)

Resubmit Assignment 5 + Excel QA+

Excel Test

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Conclusion & Exam Discussion

SWOT VAC

No formal assessment is undertaken

SWOT VAC

Examination period

LINK to Assessment Policy:

http://policy.monash.edu.au/policy-bank/
academic/education/assessment/
assessment-in-coursework-policy.html

Teaching Approach
Lecture and tutorials or problem classes

Assessment Summary
Within semester assessment: 20%
Examination: 80%
Assessment Task

Value

Due Date

Excel Assessment Tasks &

Resubmission

5%

Sunday 5pm, every even weeks submit (starting

week 2) and Odd weeks optional re-submission

Tutorial Attendance

2%

Each week.

In Tutorial Excel Assignment Question

and Answer

8%

Weeks 5,9, & 11

Unit Schedule
In Tutorial Test

5%

Weeks 5,9 & 11

Examination 1

80%

To be advised

Second marking
Where an assessment task is given a fail grade by an examiner, that piece of work will be marked again
by a second examiner who will independently evaluate the work, and consult with the first marker. No
student will be awarded a fail grade for an assessment task or unit without a second examiner confirming
the result.
Note: Exceptions to this are individual pieces of assessment contributing 10% or less of the final mark,
unless the total of such pieces exceeds 30% of the final mark.

Return of final marks

Faculty policy states that 'the final mark that a student receives for a unit will be determined by the Board
of Examiners on the recommendation of the Chief Examiner taking into account all aspects of
assessment'.
The final mark for this unit will be released by the Board of Examiners on the date nominated in the
Faculty Calendar. Student results will be accessible through the my.monash portal.

Assessment criteria
Assessment Criteria Grading Descriptors available at:
http://www.buseco.monash.edu.au/esg/agu/policies/assessment.html.

Assessment Requirements
Assessment Tasks

Assessment task 1
Title:
Excel Assessment Tasks & Resubmission
Due date:
Sunday 5pm, every even weeks submit (starting week 2) and Odd weeks optional
re-submission
Details of task:
Each fortnight students will be required to submit and Excel spreadsheet via Moodle
which closely relates to the tutorial questions.
Individual feedback will be provided prompltyly, and in the following week studntrs will
have the opportunity to resubmit the assignment and fix any errors.
Release dates:
Every Second week (from week 2)
Weighting/Value:
5%
Estimated return date:
Monday AM, after submission on Sunday
Learning objectives assessed:
The learning objective will be for the student to implement tutorial like questions in
Spreadsheets.

Both of the prior two weeks content will be assessed in each spreadsheet.
Submission details:
Moodle Drop Box on the revelant week.
Penalties for late lodgement:
No Late submissions are permitted.
Additional information:
The student will obtain the average mark of the submission and resubmission. If the
student does not resubmit, their mark will be pased completelty on the origianal
submission.

Assessment task 2
Title:
Tutorial Attendance
Due date:
Each week.
Details of task:
Students must attend and participate in the tutorial.
Weighting/Value:
2%
Presentation requirements:
Students may be asked to present solutions to the tutorial questions
Estimated return date:

Assessment Requirements

Assessment task 3
Title:
In Tutorial Excel Assignment Question and Answer
Due date:
Weeks 5,9, & 11
Details of task:
In weeks 5,9, & 11 students will be required to answer questions about the Excel
spreadsheet assignments undertaken for hoework.
Students will be asked by the tutors in the tutorial to explain their work.
Release dates:
Weeks 5,9 & 11
Weighting/Value:
8%
Estimated return date:
Learning objectives assessed:
The learning objective will be for students to demonstrate to the tutor an undertanding of
the Excel assignment they have completed at home.

Assessment task 4
Title:
In Tutorial Test
Due date:
Weeks 5,9 & 11
Details of task:
In weeks 5,9, & 11 studntes will be given a short Excel test, similar to their prior
homework.
They will be required to complete the taks under exam conditions and upload using
Moodle.
Weighting/Value:
5%
Estimated return date:
Learning objectives assessed:
This will test the ability of students to undertake derivatives work in Excel under exam
conditions, similar to prior assignments done at home.

Examination(s)
Examination 1
Weighting:
80%
Length:
Type (open/closed book):
Hurdle requirements:
Students must pass the exam in order to pass the subject.
Electronic devices allowed in the exam:
Approved Calculators permitted.

Assessment Requirements

Learning resources
Monash Library Unit Reading List (if applicable to the unit)
http://readinglists.lib.monash.edu/index.html

Feedback to you
Types of feedback you can expect to receive in this unit are:
Informal feedback on progress in labs/tutes
Graded assignments with comments
Interviews
Solutions to tutes, labs and assignments

Assignment submission
Online submission
If Electronic Submission has been approved for your unit, please submit your work via the learning
system for this unit, which you can access via links in the my.monash portal.

Prescribed text(s) and readings

Hull, J., Options, Futures and Other Derivatives, 8th Edition.

Other Information
Policies
Monash has educational policies, procedures and guidelines, which are designed to ensure that staff and
students are aware of the Universitys academic standards, and to provide advice on how they might
uphold them. You can find Monashs Education Policies at:
www.policy.monash.edu.au/policy-bank/academic/education/index.html
Key educational policies include:
Student Academic Integrity Policy and Student Academic Integrity: Managing Plagiarism and
Collusion Procedures ;
Assessment in Coursework Programs;
Special Consideration;
Grading Scale;
Discipline: Student Policy;
Academic Calendar and Semesters;
Orientation and Transition; and
Academic and Administrative Complaints and Grievances Policy.

Graduate Attributes Policy

http://www.policy.monash.edu/policy-bank/academic/
education/management/monash-graduate-attributes-policy.html

Student Charter
www.opq.monash.edu.au/ep/student-charter/monash-university-student-charter.html

Student services
The University provides many different kinds of support services for you. Contact your tutor if you need
advice and see the range of services available at http://www.monash.edu.au/students

Monash University Library

The Monash University Library provides a range of services, resources and programs that enable you to
save time and be more effective in your learning and research. Go to www.lib.monash.edu.au or the
library tab in my.monash portal for more information.

Moodle 2
All unit and lecture materials, plus other information of importance to students, are available through the
virtual learning environment Moodle site. You can access Moodle via the my.monash portal.
Where to go for help
If you're stuck, confused or simply not sure how to approach Moodle, there are a number of Moodle
resources that you can tap into.
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Other Information

Disability Liaison Unit

Students who have a disability or medical condition are welcome to contact the Disability Liaison Unit to
discuss academic support services. Disability Liaison Officers (DLOs) visit all Victorian campuses on a
regular basis.
Website: http://www.monash.edu/equity-diversity/disability/index.html
Telephone: 03 9905 5704 to book an appointment with a DLO;
Email: dlu@monash.edu
Drop In: Equity and Diversity Centre, Level 1, Building 55, Clayton Campus.

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