Unit Outline

School of Business

Unit Name Derivatives

Unit 200079
Number

Unit Dr Sriram Shankar

Coordinator/
s

Session Autumn

Year 2015

Handbook This unit provides an introduction to the major classes of derivatives: forwards,
Summary futures, swaps and options. It examines how these instruments can be used by
companies for the purposes of hedging, speculation and arbitrage. Each of these
categories of derivatives is examined in some detail. Considerable attention is also
given to various models used to price derivative products. The historical
background to contemporary risk management is also considered.

Credit 10
Points

Pre- 200052.1 Introduction to Economic Methods

requisites
200488.1 Corporate Financial Management

Co- Not applicable

requisites

Incompatibl Not applicable

e/ not to be
counted for
credit with

Unit Level 3

Assumed Knowledge of mathematics and statistics equivalent to that required for 200052
Knowledge Introduction to Economic Methods.

Attendance It is recommended that students attend at least 80% of classes. In cases of illness
Requiremen or extenuating circumstances please contact the unit coordinator.
ts

Enrolment Not applicable

Restrictions

Learning After successful completion of this Unit, students will be able to:
Outcomes
1. Describe the operational mechanics of derivatives trading.

2. Identify and explain the role of key participants in derivatives markets.

3. Evaluate the institutional and organisational structure of key derivatives

markets.

4. Examine the theoretical background to the pricing of various types of

derivatives.

5. Illustrate the historical development of derivatives.

Unit 1. Introduction to derivatives.

Unit Name: Derivatives Unit Number: 200079 Teaching Session: Autumn 2015
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 Content

2. Mechanics of futures and forward markets.

3. Interest rate mathematics and analysis.

4. Forward and futures price analysis.

5. Hedging strategies.

6. Interest rate derivatives.

7. FRAs and swaps.

8. Option market structure and mechanics.

9. Option strategies.

10. Option pricing models.

Mode of One two-hour lecture plus one one-hour tutorial per week.
Delivery
Weekly group work assignments are designed to help students develop the
problem-solving skills and analytical techniques required for successful
performance in the mid-term test and fi nal examination. As a team member,
each student will contribute to the solution of two sets of homework
assignments, from a total of ten such sets.

Assessment Assessment for this unit will be based on the following components:
Items and
Weighting Weighting
Component
(%)

Tutorial presentations x 2 (group) (20 minutes each) 20%

Mid-semester examination (individual) (1-hour) 30%

Final examination (2-hours) 50%

TOTAL 100%

The minimum requirement to pass the course is an overall mark of 50%.

Essential Text Book:

Library
Resources Hull, J 2013, Fundamentals of Futures and Options Markets, PNIE (8e), Pearson
Education, ISBN: 9781292041902.
References: Please refer to the learning guide and vUWS site.

On-line Lecture notes and tutorial questions will be made available on the vUWS link on the
Learning UWS home page www.uws.edu.au
Requiremen
Students are expected to consult vUWS at least twice a week, as all
ts
announcements will be made via vUWS and teaching material will be regularly
updated and posted online.

Special Not applicable

Requiremen
ts

Unit Name: Derivatives Unit Number: 200079 Teaching Session: Autumn 2015
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Unit Name: Derivatives Unit Number: 200079 Teaching Session: Autumn 2015
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