Course overview
This course examines the function and operation derivative markets serve in finance. To begin, the course identifies relationships that must hold in such markets if there are to be no arbitrage opportunities. The course then covers options pricing using the Binomial and Black-Scholes approach, as well as describing a wide range of futures and options dealing strategies, along with their applications to hedging and risk management. Currency and fixed-interest derivatives are also considered as well as options on futures and some alternative exotic options. Applications developed at the University of Adelaide are used to complement the study of derivative securities.
Course learning outcomes
- Employ core concepts of futures in pricing futures and forwards
- Interpret and analyse market for a mix of underlying and derivative securities data for appropriate hedging and risk management strategies
- Apply stock price dynamics and hedge parameters to price options
- Design appropriate hedging and arbitrage strategies with derivative securities