FINAN519-20B (HAM)

Derivatives

15 Points

Edit Header Content
Division of Management
School of Accounting, Finance and Economics

Staff

Edit Staff Content

Convenor(s)

Samir Harith

Samir Harith
7706
MSB.3.08
See Moodle
samir.harith@waikato.ac.nz

Susanna Lu

Susanna Lu
4973
MSB.2.30
See Moodle
susanna.lu@waikato.ac.nz

Lecturer(s)

Samir Harith

Samir Harith
7706
MSB.3.08
See Moodle
samir.harith@waikato.ac.nz

Administrator(s)

: denise.martin@waikato.ac.nz

Placement/WIL Coordinator(s)

Tutor(s)

Student Representative(s)

Lab Technician(s)

Librarian(s)

: clive.wilkinson@waikato.ac.nz

You can contact staff by:

  • Calling +64 7 838 4466 select option 1, then enter the extension.
  • Extensions starting with 4, 5, 9 or 3 can also be direct dialled:
    • For extensions starting with 4: dial +64 7 838 extension.
    • For extensions starting with 5: dial +64 7 858 extension.
    • For extensions starting with 9: dial +64 7 837 extension.
    • For extensions starting with 3: dial +64 7 2620 + the last 3 digits of the extension e.g. 3123 = +64 7 262 0123.
Edit Staff Content

Paper Description

Edit Paper Description Content

This paper covers options, forward contracts, futures contracts, and swaps. By the end of this course you will have a good knowledge of how these contracts work, how they are used, and how they are priced.

Edit Paper Description Content

Paper Structure

Edit Paper Structure Content

The paper will be taught through lectures and tutorials and students’ performance will be evaluated by Assignments, Midterm Test and End-of-term Test.

There will be a series of lecture videos uploaded every week and a weekly live Q&A session with the subject lecturer. Physical Workshops will be available to attend for students starting from week 2 of the semester. These workshops can be joined remotely, and recordings will be made available online.

Edit Paper Structure Content

Learning Outcomes

Edit Learning Outcomes Content

Students who successfully complete the paper should be able to:

  • Understand why we trade derivative securities [L01]

    Understand why we trade derivative securities (e.g., forward, futures and option), how these contracts work and how they are used.

    Linked to the following assessments:
  • Understand how to establish trading strategies using forward/futures contracts [L02]
    Learn how to hedge risks, to speculate and to lock in an arbitrage profit via forward and futures contracts.
    Linked to the following assessments:
  • Determine valuation of forward/futures contracts [L03]

    Learn how to price forward and futures contracts.

    Linked to the following assessments:
  • Realize trading strategies and valuation of swaps [L04]

    Understand how swap contracts work, how they are used, and how they are priced.

    Linked to the following assessments:
  • Understand different trading strategies using option contracts [L05]

    Learn how to hedge risks, to speculate and to lock in an arbitrage profit via option contracts.

    Linked to the following assessments:
  • Determine valuation of option contracts [L06]

    Learn how to price option contracts (e.g., binomial trees, and the Black-Scholes model).

    Linked to the following assessments:
Edit Learning Outcomes Content
Edit Learning Outcomes Content

Assessment

Edit Assessments Content

To be eligible to pass this paper, students must achieve an overall grade of at least 50% in the whole paper.

Edit Additional Assessment Information Content

Assessment Components

Edit Assessments Content

The internal assessment/exam ratio (as stated in the University Calendar) is 100:0. There is no final exam. The final exam makes up 0% of the overall mark.

The internal assessment/exam ratio (as stated in the University Calendar) is 100:0 or 0:0, whichever is more favourable for the student. The final exam makes up either 0% or 0% of the overall mark.

Component DescriptionDue Date TimePercentage of overall markSubmission MethodCompulsory
1. Assignment 1
20 Aug 2020
5:00 PM
20
  • Online: Submit through Moodle
2. Midterm test
17 Aug 2020
5:00 PM
30
  • Online: Submit through Moodle
3. End-of-term test
15 Oct 2020
11:00 AM
30
  • Online: Submit through Moodle
4. Assignment 2
30 Oct 2020
5:00 PM
20
  • Online: Submit through Moodle
✔
Assessment Total:     100    
Failing to complete a compulsory assessment component of a paper will result in an IC grade
Edit Assessments Content

Required and Recommended Readings

Edit Required Readings Content

Required Readings

Edit Required Readings Content

Fundamentals of Futures and Options Markets, by John C. Hull, Sirimon Treepongkaruna, Richard Heaney, David Pitt, and David Colwell. Pearson.

Edit Required Readings Content

Recommended Readings

Edit Recommended Readings Content

For additional readings of this paper, refer to Waikato Reading List (https://rl.talis.com/3/waikato/lists/3D9E1B61-3399-2C23-2C82-4EC0D7A17C71.html?lang=en-GB): note that this list contains a pool of research papers for lectures and internal assessment.

Edit Recommended Readings Content

Other Resources

Edit Other Resources Content

Other teaching materials will be provided online via Moodle where necessary.

Please contact the Paper Convenor for further details.

Edit Other Resources Content

Online Support

Edit Online Support Content
All the resources about this paper will be available on Moodle. Research papers are available via Reading List. The online resources may be updated where necessary.
Edit Online Support Content

Workload

Edit Workload Content

The course has 48 (4 X 12) contact hours (online lectures and tutorials/workshops). The rest of the 200 hours expected workload in this 15 point paper can be distributed as follows: 50 hours to prepare for and complete the Assignments, 42 hours to prepare for the Midterm Test and 60 hours to prepare for the End-of-term Test.

Edit Workload Content

Linkages to Other Papers

Edit Linkages Content

PREREQUISITE(S)

Prerequisite papers: FINA311 or FINA312

Edit Linkages Content

Prerequisite(s)

Corequisite(s)

Equivalent(s)

Restriction(s)

Restricted papers: FINA519

Edit Linkages Content