BFC3340 · Monash University
Advanced derivatives
- Credit points
- 6
- Level
- 3
- Workload
- ≈ 12 h / week
- Faculty
- Business and Economics
What it covers
This unit builds on Derivatives to deepen conceptual understanding of option pricing and derivatives analysis. Topics include stochastic calculus concepts that underpin the Black-Scholes-Merton model, numerical approaches to option pricing, valuation of interest rate derivatives, exotic options, credit derivatives.
Assessment
| Task | Type | Weight |
|---|---|---|
| 2 - Demonstration | Demonstration | 40% |
| 3 - Examination | Examination | 40% |
| 1 - Exercise | Exercise | 20% |
When and where
| Teaching period | Campus | Mode |
|---|---|---|
| Second semester | Clayton | Flexible |
| First semester | Clayton | Flexible |