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Detailed analysis of complex derivative securities, including valuation, hedging, speculation, arbitrage and risk management.
The purpose of the paper is to equip students with knowledge of these products, i.e., how they are valued, and how they can be used for arbitraging, speculation and hedging purposes. The course provides students with the mathematical tools needed for derivation of key models such as the Cox-Ross-Rubinstein Binomial model and the Black-Scholes model. It offers also a detailed introduction to the Binomial Heath-Jarrow-Morton model. Cases from leading academic journals will be discussed in class in order to help students develop further thoughts and gain additional knowledge in the area of derivatives products and financial risk management. Furthermore, the course also aims to assist students to develop their own piece of research.
Subject to approval of the Head of Department.
Students must attend one activity from each section.
Domestic fee $962.00
International Postgraduate fees
* Fees include New Zealand GST and do not include any programme level discount or additional course related expenses.
For further information see
Department of Economics and Finance.