25832 Financial Markets Instruments
UTS: Business: Finance and EconomicsCredit points: 6 cp
Subject level: Postgraduate
Result Type: Grade and marksHandbook description
This subject aims to produce an understanding of the functioning of financial markets and the instruments traded in them. It also deals with the fundamentals of pricing of various kinds of financial securities and derivatives, such as fixed income securities, foreign exchange, stocks, forwards and futures options and swaps.
Subject objectives/outcomes
On successful completion of this subject students should be able to:
- have an understanding of the functioning of modern financial markets
- have an understanding of the main instruments traded in financial markets such as fixed income securities, foreign exchange, stocks, swaps, forwards and futures
- have an understanding of the fundamentals of the pricing of various kinds of financial securities and derivatives.
Contribution to graduate profile
This subject is an integral part of the Masters of Quantitative Finance providing an understanding of the instruments, institutions and markets that exist around the world. The subject develops the essential concepts at an advanced, quantitative level, while emphasising practical applications of current importance. Many of the concepts covered in this subject are further developed in later subjects in the Masters of Quantitative course.
Teaching and learning strategies
The subject will incorporate a range of strategies including simulations, readings and case studies.
Content
- Securities-calculation of yields
- Bond markets-calculating bond prices, duration and yields
- Equity markets
- FX markets
- Forward interest rates and yield curves
- FRAs and interest rate swaps
- Yield curve analysis
- Interest rate hedging
- The mechanics of option markets.
Assessment
Assessment item 1: Assignment (Individual)
| Objective(s): | 1-3 |
| Weighting: | 30% |
| Task: | Individual assignment will be used to assess the ability of course participants to arrive at a sound understanding of financial markets using relevant financial techniques. These assignments will enable students to demonstrate that they have met objectives 1-3. |
Assessment item 2: Final Examination (Individual)
| Objective(s): | 1-3 |
| Weighting: | 70% |
| Task: | The final exam consisting of multiple choice and short answer questions will test students' knowledge and competencies in applying financial techniques to solve problems. This exam will allow students to demonstrate that they have met objectives 1-3. |
Indicative references
Fixed Income Mathematics — Analytical and Statistical Techniques, FJ Fabozzi, McGraw-Hill Publishing, 4E, 2006
Investments - Concepts and Applications in Australia, T Brailsford, R Heaney and C Bilson, Cengage Learning Australia , 2006
Advanced Financial Risk Management, D. R. Van Deventer and K. Imai, Irwin Professional Publishing, 2004
Futures, Options and Other Derivatives, J. Hull, Prentice Hall, 7th Edition, 2008
Fixed Income Securities — Valuation, Risk Management and Portfolio Strategies, L.Martellini, P. Priaulet, S. Priaulet,Wiley Finance, 2003
Websites
http://fenews.com/1998/Issue4/059805.htmwww.economagic.com/maps/yieldcurve.htm
www.bloomberg.com/markets/C13.html
http://stockcharts.com/charts/YieldCurve.html
http://smartmoney.investing.lycos.com/onebond/index.cfm?story=yieldcurve
Other resources
Lecture notes/slides: Printed version of the lecture notes / slides will be handed out at the beginning of the first lecture. If you require an electronic version of the lecture notes / slides in PDF, these are available from the course web-site on UTSOnline. Please note, however, that the file sizes can be quite large.
