FINA51918T (HAM)
Derivatives Two
15 Points
Staff
Convenor(s)
Greg Hou
9402
MSB.2.37
10 am  12 pm, Friday
greg.hou@waikato.ac.nz

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Paper Description
This paper aims to enhance students' ability to understand and analyse derivatives beyond simple futures and options. It also introduces basic research on derivatives to students. Major topics to be covered include Wiener processes, Ito's lemma, the BlackScholes model, Greek letters, delta hedging strategies, value at risk, GARCH conditional volatility models, and swaps. Students are led to read journal articles, read teaching materials, do inclass presentations, participate in research debate, conduct empirical analyses and write research reports.
Paper Structure
The main activities of this paper include:
Lectures
Teaching materials reading
Journal articles reading
Inclass research article presentation
Research articles summary
Individual project report
Test
Learning Outcomes
Students who successfully complete the course should be able to:
Assessment
There are four internal assessments for this paper: Inclass research article presentation, research paper summary, individual research project report and a final test.
Assessment Components
The internal assessment/exam ratio (as stated in the University Calendar) is 100:0. There is no final exam.
Required and Recommended Readings
Required Readings
Textbook
Hull, J.C. (2012). Options, Futures, And Other Derivatives. 8th Edition. Pearson Education Limited.
Recommended Readings
Hull, J.C. (2015) Options, Futures, And Other Derivatives. 9th Edition. Pearson Education Limited.
Reading list for FINA 519: note that this list contains required textbook, recommended textbook and a pool of research papers for internal assessments.
Other Resources
Other teaching materials will be provided online where necessary.
Please contact the Paper Convener for further details.
Online Support
Workload
There are 150 learning hours for this paper. They will be spent on the following activities:
Attend lectures
Read teaching materials and research articles
Prepare for and do the research article presentations
Write research summary and research project report
Prepare for and sit the final test
Linkages to Other Papers
Prerequisite(s)
Prerequisite papers: FINA412, FINA502 or FINA509
Restriction(s)
Restricted papers: FINA529