FINAN51919B (HAM)
Derivatives
15 Points
Staff
Convenor(s)
Greg Hou
9402
MSB.2.37
2 pm  4 pm, Tuesday
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 binomial trees, Wiener processes, Ito's lemma, the BlackScholes model, Greek letters, delta and gamma hedging, advanced issues of futures markets, value at risk, GARCH conditional volatility models, and swaps. Students are led to read journal articles, do inclass presentations, participate in research debate, conduct empirical analyses and write research reports.
Paper Structure
The main activities of this paper include:
Lectures
Journal articles reading
Inclass research article presentation
Journal articles summary
Individual project report
Quiz
Final exam
Learning Outcomes
Students who successfully complete the course should be able to:
Assessment
There are four pieces of internal assessment for this paper: Inclass journal article presentation, research paper summary, quiz and individual analysis report.
Assessment Components
The internal assessment/exam ratio (as stated in the University Calendar) is 50:50. The final exam makes up 50% of the overall mark.
Required and Recommended Readings
Required Readings
Recommended Readings
For additional readings of this paper, refer to Waikato Reading List (https://rl.talis.com/3/waikato/lists/3D9E1B6133992C232C824EC0D7A17C71.html?lang=enGB): note that this list contains a pool of research papers for lectures and internal assessment.
Other Resources
Other teaching materials will be provided online via Moodle where necessary.
Please contact the Paper Convenor for further details.
Online Support
Workload
There are 150 learning hours for this paper. They will be spent on the following activities:
Attend lectures and workshops
Read teaching materials and research articles
Prepare for and do the research article presentations
Write research summary and project report
Prepare for and sit the quiz
Prepare for and sit the final exam
Linkages to Other Papers
Restriction(s)
Restricted papers: FINA519