Advanced Derivative Securities

• FNCE90005
• Contact Hours: Seminars, lectures and tutorials totalling 3 hours per week
  Total Time Commitment: Estimated total time commitment of 120 hours per semester
• 12.50

Arbitrage bounds, stock price dynamics, geometric Brownian motion and Itos Lemma, Cox-Ross-Rubinstein binomial model, Black-Scholes model, risk neutral valuation, forwards and futures, currency, stock index, futures and exotic options, Interest rate derivative securities. -- Course Website

Prerequisites: FNCE30007 Derivative Securities and one of FNCE90002 Foundations of Finance or FNCE40002 Advanced Investments. Subject Study Period Commencement: Credit Points: FNCE30007 Derivative Securities January, Semester 1, Semester 2 12.50 FNCE90002 Foundati