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25838 Advanced Instruments

UTS: Business: Finance and Economics
Credit points: 6 cp

Subject level: Postgraduate

Result Type: Grade and marks

Requisite(s): 25835 Computational Finance AND 25836 Financial Decision Making Under Uncertainty
There are also course requisites for this subject. See access conditions.

Handbook description

This subject provides the opportunity to apply the various techniques studied earlier in the course to the valuation and hedging of more advanced derivative instruments. It examines taxonomy of the various exotic derivatives in the log-normal world and then focuses in detail on pricing and hedging issues, particularly binaries, barriers and strongly path-dependant options such as Asians and look-backs. Interest rate derivative products are analysed, and practical implementations within the Hull-White, Heath-Jarrow-Morton and Brace-Musiela representations are undertaken.