Derivative Securities (ACFI3130) - University of Newcastle

ACFI3130 Derivative Securities is a course that delves into the world of financial instruments and investments, specifically derivative securities. Students will gain an in-depth understanding of binomial option pricing, the Black-Scholes option-pricing model, put-call parity for equity options, and currency options. In addition, students will also learn about the use of futures and options, payoff structures for options, and arbitrage bounds. The course also explores the options on futures and their applications in portfolio management and risk reduction strategies.

Throughout the course, students will engage in independent or collaborative work processes to develop communication skills reflective of professional practice. By the end of the course, students will be able to comprehend the nature and pricing of options contracts, explain futures contracts and how futures markets are organized, interpret and explain speculation and hedging strategies using futures contracts, and identify the major types and characteristics of options. They will also be able to apply basic option pricing theorems and examine the Black-Scholes and binomial option pricing models to calculate option prices. Additionally, students will gain knowledge about the characteristics and uses of foreign currency options and the system of deposits, margins, and marking-to-market used by futures exchanges.