ECON 3003 Derivatives

Credit Points 10

Legacy Code 200079

Coordinator Mark Thomas Opens in new window

Description This unit provides an introduction to the major classes of derivatives: forwards, 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.

School Business

Student Contribution Band HECS Band 4 10cp

Check your HECS Band contribution amount via the Fees page.

Level Undergraduate Level 3 subject

Pre-requisite(s) ECON 1006 AND
ECON 2002

Equivalent Subjects LGYA 9824 - Risk Management LGYB 9004 - Options Futures and Derivitive Products

Assumed Knowledge

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

Learning Outcomes

On successful completion of this subject, students should be able to:
  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.

Subject Content

- options, futures and forwards Overview
- mechanics of futures and forward markets
- interest rate mathematics and analysis
- forward and futures price analysis
- Hedging strategies
- interest rate derivatives
- FRAs and swaps
- option market structure and mechanics
- option strategies
- option pricing Models

Assessment

The following table summarises the standard assessment tasks for this subject. Please note this is a guide only. Assessment tasks are regularly updated, where there is a difference your Learning Guide takes precedence.

Item Length Percent Threshold Individual/Group Task
Diagnostic examination 40 minutes 10 N Individual
Portfolio 10 minutes 15 N Individual
Mid-semester examination 1 hour 25 N Individual
Final examination 2 hours 50 N Individual

Prescribed Texts

  • Hull, J 2014, Fundamentals of futures and options markets, 8th edn, Pearson, Harlow, Essex. [Available online].

Teaching Periods

2022 Semester 1

Online

Online

Subject Contact Mark Thomas Opens in new window

Attendance Requirements 80% attendance rate is imposed in all core subjects’ due to the nature of class activities that are aligned with subject assessments.

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Parramatta City - Macquarie St

Day

Subject Contact Mark Thomas Opens in new window

Attendance Requirements 80% attendance rate is imposed in all core subjects’ due to the nature of class activities that are aligned with subject assessments.

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Evening

Subject Contact Mark Thomas Opens in new window

Attendance Requirements 80% attendance rate is imposed in all core subjects’ due to the nature of class activities that are aligned with subject assessments.

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2022 Trimester 1

Uoe - Ho Chi Minh City

Day

Subject Contact Mark Thomas Opens in new window

Attendance Requirements 80% attendance rate is imposed in all core subjects’ due to the nature of class activities that are aligned with subject assessments.

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2022 Trimester 3

Sydney City

Day

Subject Contact Neelam Goela Opens in new window

Attendance Requirements 80% attendance rate is imposed in all core subjects’ due to the nature of class activities that are aligned with subject assessments.

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