NQF credits: 14
Fourth year status‚ second semester‚ one double lecture per week.
Course Convenor : Malcolm Keswell
Entrance requirements: See admissions requirements for Honours in Economics.
Mechanics of derivatives markets; forwards‚ futures and options; binomial model; introduction to Black–Scholes model; interest rates; bonds; fixed income derivatives; hedging; risk; mean–variance analysis; CAPM; multi–factor models and APT; SDF and equity premium; asymmetric information and limits to arbitrage.
DP requirements: None.
Assessment: Assignments‚ tests and examination count for 100%.
Last updated : 15 Jul 2015
Staff Members on this course :
A/Prof Malcolm Keswell