FINC623-21S2 (C) Semester Two 2021

Advanced Derivative Securities

15 points

Start Date: Monday, 19 July 2021
End Date: Sunday, 14 November 2021
Withdrawal Dates
Last Day to withdraw from this course:
  • Without financial penalty (full fee refund): Sunday, 1 August 2021
  • Without academic penalty (including no fee refund): Friday, 1 October 2021


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.

Course Coordinator

Jedrzej Bialkowski


Assessment Due Date Percentage  Description
Assignment 15% Written report
Assignment 15% Bloomberg assignment
Final exam 40%
Test 30% Mid-semester test

Indicative Fees

Domestic fee $992.00

* All fees are inclusive of NZ GST or any equivalent overseas tax, and do not include any programme level discount or additional course-related expenses.

For further information see Department of Economics and Finance .

All FINC623 Occurrences

  • FINC623-21S2 (C) Semester Two 2021