School of Business

ECON3003 (UEH) Derivatives

UEH T2 2022
 Subject Details

Subject Code: ECON3003 (UEH)

Subject Name: Derivatives
Credit Points: 10
Subject Level: 3
Assumed Knowledge: Knowledge of mathematics and statistics equivalent to that required for 200052, Introduction
to Economic Methods.

Note: Students with any problems, concerns or doubts should discuss those with the Subject Coordinator as early as they can.

Subject Coordinator
Name: Dr Heath Spong

UEH Convenor
Name: Dr PHAM Thi Anh Thu
Email: [email protected]

Student Advisor
Name: Ms NGUYEN Thi Hoang Anh
Phone: 0973 561 499
Location: 196 Tran Quang Khai, Tan Dinh Ward, District 1, Ho Chi Minh City
Email: [email protected]

Administrative Support
Name: Mr HUYNH Thong Dat
Email: [email protected]

Edition: UEH T2 2022

Copyright ©2022 University Western Sydney trading as Western Sydney University ABN 53 014 069 881 CRICOS Provider No: 00917K No part of this publication may be reproduced or transmitted in any form or by any means,
electronic or mechanical, including photocopying, recording, or by any information storage and retrieval system, without the prior written permission from the Dean of the School. Copyright for acknowledged materials reproduced
herein is retained by the copyright holder. All readings in this publication are copied under licence in accordance with Part VB of the Copyright Act 1968.
Contents
1 About Derivatives 2
1.1 An Introduction to this Subject . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
1.2 What is Expected of You . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
1.3 Changes to Subject as a Result of Past Student Feedback . . . . . . . . . . . . . . . . . . . . . . . . 4

2 Assessment Information 5
2.1 Subject Learning Outcomes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
2.2 Approach to Learning . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
2.3 Assessment Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
2.4 Assessment Details . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
2.4.1 Diagnostic examination . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
2.4.2 Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
2.4.3 Mid-semester examination . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
2.4.4 Final examination . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
2.5 General Submission Requirements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16

3 Teaching and Learning Activities 18

4 Learning Resources 20
4.1 Recommended Readings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20

Note: The relevant Learning Guide Companion supplements this document

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1 About Derivatives

1.1 An Introduction to this Subject

This subject provides an introduction to the major classes of derivatives: forwards, futures, swaps and options. It
examines how these instruments can be used by companies for the purposes of hedging, speculation and arbitrage.
Each of these categories of derivatives is examined in some detail. Considerable attention is also given to various
models used to price derivative products. The historical background to contemporary risk management is also
considered.

1.2 What is Expected of You

Study Load

A student is expected to study an hour per credit point a week. For example a 10 credit point Subject would require
10 hours of study per week. This time includes the time spent within classes during lectures, tutorials or practicals.

Note for Summer Terms: As Summer subjects deliver the same content and classes over a shorter period of time,
the subjects are run in a more intensive mode. Regardless of the delivery mode, the study hours for each subject in
Summer A will be around 22 hours; in Summer B, around 30 hours.

Attendance

It is recommended that students attend all scheduled classes in order to succeed in this unit.
UEH-ISB policy requires students to enter electronic fingerprint before entering the classes. Please let your lecturer
and/or UEH-ISB know if you are unable to attend any session.

Online Learning Requirements

Subject materials will be made available on the Subject’s vUWS (E-Learning) site (https://vuws.westernsydney.
edu.au/). You are expected to consult vUWS at least twice a week, as all Subject announcements will be made via
vUWS. Teaching and learning materials will be regularly updated and posted online by the teaching team.

Special Requirements

Essential Equipment:
Not Applicable
Legislative Pre-Requisites:
Not Applicable

Policies Related to Teaching and Learning

The University has a number of policies that relate to teaching and learning. Important policies affecting students
include:

– Assessment Policy
– Bullying Prevention Policy and
– Guidelines
– Enrolment Policy
– Examinations Policy
– Review of Grade Policy

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 – Sexual Harassment Prevention Policy
– Disruption to Studies Policy
– Student Misconduct Rule
– Teaching and Learning - Fundamental Code
– Student Code of Conduct

Academic Integrity and Student Misconduct Rule

Western cares about your success as a student and in your future career. Studying with academic integrity safeguards
your professional reputation and your degree. All Western students must:

– be familiar with the policies listed above;

– apply principles of academic integrity;
– act honestly and ethically in producing all academic work and assessment tasks; and
– submit work that is their own and acknowledge any sources used in their work.

Each time you submit an assessment, you will declare that you have completed it individually, unless it is a group
assignment. In the case of a group assignment, each group member should be ready to document their individual
contribution if needed. You will also declare that no part of your submission has been:

– copied from any other student’s work or from any other source except where appropriate acknowledgement is
made in the assignment;
– submitted by you in another (previous or current) assessment, except where appropriately acknowledged, and
with prior permission from the Subject Coordinator;
– made available to others in any form, where individual work is required;
– written/produced for you by any other person.

The Student Misconduct Rule applies to all students of Western Sydney University including Western Sydney Univer-
sity programs taught by other education providers. You must not engage in academic, research or general misconduct
as defined in the Rule or you may be subject to sanctions. The University considers submitting falsified documentation
in support of requests to redo, resit or extend submissions, including sitting of deferred examinations, as instances of
general misconduct.

More information on studying with integrity is available on the Study with Integrity webpage. It is your responsibility
to apply these principles to all work you submit to the University.

Avoid using external ’support’ sites or other external help

To avoid the risk of your assignment being shared without your knowledge, do not upload your assignment to any
external sites for spelling, grammar or plagiarism checks. Your safest option is to use the free services provided by
Library Study Smart or Studiosity.

Avoid using any websites that:

– allow sharing of assignments or other material

– reward sharing of material with credits, tokens; or access to additional materials/features/services;
– provide answers to textbook or assignment/exam questions;
– provide free sample assignments; and/or include order buttons and prices; and/or
– invite you to submit your assignment for plagiarism or grammar or other checks.

Engagement with academic cheating sites will be regarded as misconduct. Academic cheating services often market
themselves as ’support’. Engagement with these sites includes:

– Sharing assignments or course material;

– Using online tools provided by these sites to check for plagiarism, grammar or spelling; and/or
– Purchasing writing services, or obtaining a copy of an assignment.

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Uploading your work to these sites may lead to your work being shared with others with or without your knowledge
and consent.

The Australian Government monitors current and past students’ use of academic cheating services, and may report
student material found on these sites or other forms of engagement to universities.

Current students with items found on academic cheating sites face sanctions under the Student Misconduct Rule.
Outcomes for graduates may include revocation of award. For more information see https://www.westernsydney.
edu.au/currentstudents/current_students/student_misconduct_rule.

More advice can be found on the Study with Integrity webpage.

Need help?

If you are having difficulties with understanding or completing an assessment task, contact your Subject Coordinator
as soon as possible. Western also has a range of academic support services, including:

– Library Study Smart: book a one-to-one Zoom consultation with a literacy expert. You can discuss how
to develop your assignment writing and study skills or seek assistance to understand referencing and citation
requirements. Check the Library Study Smart website for how-to study guides and tools.
– Studiosity: Upload your assignment draft to Studiosity within vUWS to receive writing feedback within 24
hours.
– Online workshops, programs and resources: From maths and stats help to academic literacy and peer support
programs, the University has a range of resources to assist.

Please also remember that there is a range of wellbeing support available - from counselling and disability services to
welfare.

1.3 Changes to Subject as a Result of Past Student Feedback

The University values student feedback in order to improve the quality of its educational programs. The feedback
provided helps us improve teaching methods and Subjects of study. The survey results inform Subject content and
design, learning guides, teaching methods, assessment processes and teaching materials.

You are welcome to provide feedback that is related to the teaching of this Subject. At the end of the semester you
will be given the opportunity to complete a Student Feedback on Subject (SFS) questionnaire to assess the Subject.
You may also have the opportunity to complete a Student Feedback on Teaching (SFT) questionnaire to provide
feedback for individual teaching staff.

As a result of student feedback, the following changes and improvements to this subject have recently been made:

– More worked homework questions and worked examples are provided throughout the subject

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2 Assessment Information

2.1 Subject Learning Outcomes

The table below outlines the subject learning outcomes (SLOs) for this subject. Upon completion of this subject,
students will be able to:

Outcome
1 Describe the operational mechanics of derivatives trading
2 Identify and explain the role of key participants in derivatives markets
3 Evaluate the institutional and organisational structure of key derivatives markets
4 Examine the theoretical background to the pricing of various types of derivatives
5 Illustrate the historical development of derivatives

2.2 Approach to Learning

Financial derivative valuation is one of the most challenging topics in finance. Few industry practitioners understand
derivatives. Yet, it is an increasingly important field of interest because each year more organisations learn the value
to investors, members, and shareholders from using derivatives to manage risk.

Even though we have traded derivatives for over 300 years, it is only in the last 50 years that we have devel-
oped the mathematical tools to price derivatives accurately (until then there was a lot of guesswork).

To pass this subject, students need to review the class materials and attempt all the homework questions each
week.

To excel at this subject, students must read widely and discuss the topics with colleagues and teachers.

As with all topics in economics and finance, this material can be understood in common sense terms, for the
most part at least, and definitely with a mathematical model. Students will need to grasp both.

I encourage students to ask questions in class and to seek further clarification on concepts by emailing the teaching
staff.

Referencing and citation requirements

This subject uses the American Psychological Association (APA) referencing style. Full details and examples are
available on the Library website.

Assignment cover sheet

You are to keep a copy of all assessments submitted for marking.

Submission through vUWS and Turnitin indicates your acknowledgement and acceptance of the workbeing your
own. Some assessments may be required to be submitted with an assignment cover sheet (check the submission
requirements section for each assessment). In these instances, links to assignment cover sheets can belocated in your
vUWS site.

Group assignments are to be submitted with a group assignment cover sheet indicating the names of all group

5
participants. Some subjects may also require you to submit a peer evaluation of group member participation. This
may be conducted online or in hard copy format. Details will be provided via the vUWS site.

Tutorials

Tutorials following the lecture in each session provide students the opportunity to apply and share knowledge by
doing a variety of in-class activities individually or in a group such as exercises, discussion, and presentation. These
activities focus on demonstrating your skills and help you build your ability to achieve the learning outcomes for this
subject.

Tutorial questions/exercises will be provided in the lecture handouts. You will be expected to have completed
specific reading and exercises from the textbook and other required materials prior to attending each lecture and
tutorial class. If you have not prepared adequately, you will not get the full benefit from this learning opportunity.

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2.3 Assessment Summary

The assessment items in this Subject are designed to enable you to demonstrate that you have achieved the Subject
learning outcomes. Completion and submission of all assessment items which have been designated as mandatory or
compulsory is essential to receive a passing grade.

To pass this Subject you must:

– Complete all assessment items.

– Achieve an overall mark of at least 50 per cent.

Item Weight Due Date SLOs Assessed Threshold

Diagnostic examination 10% Session 4 3, 4, 5 No
Portfolio 15% Submit on VUWS site: 9 a.m 1, 2, 4 No
every Thursday morning (VN
Time) from Week 2-12; In-class
presentation: During normal
class time from Session 2-12
Mid-semester 25% Session 10 3, 4, 5 No
examination
Final examination 50% During formal examination 1, 2, 3, 4 No
period

Feedback on Assessment

Feedback is an important part of the learning process that can improve your progress towards achieving the learning
outcomes. Feedback is any written or spoken response made in relation to academic work such as an assessment
task, a performance or product. It can be given to you by a teacher, an external assessor or student peer, and may
be given individually or to a group of students. As a Western Sydney University student, it is your responsibility to
seek out and act on feedback that is provided to you as a resource to further your learning.

Note: Before you receive your results for each piece of assessment they may be moderated. Moderation is a process
whereby the subject coordinator regulates the marking of individual markers to achieve consistency in the application
of subject objectives, performance standards and marking criteria. You should note that, consistent with the Criteria
and Standards Based Assessment policy, the final marks for the cohort may be also adjusted if marks are very high
or low or there are inconsistencies between teams. Marks for an individual piece of assessment will not be changed
after you have your moderated results.

Note: It is required that students attempt all available assessment elements. An automatic Fail Non - Submission
grade will be awarded if any assessment task is not submitted/completed as per the details specified.

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2.4 Assessment Details

2.4.1 Diagnostic examination

Weight: 10%
Type of Collaboration: Individual
Due: Session 4
Submission: Online
Format: Online multiple choice test that will be machine marked.
Attempting the test is compulsory. Failure to attempt the test during the period that it
is available will result in a Failure Non-Submission grade being awarded for the subject.
The exam will cover all material from weeks 1-3 of the subject
Length: 40 minutes
Curriculum Mode: Multiple Choice

Students are to attempt the online multiple choice test (with a proctor) on a pre-confirmed date in week 4.

Students will have one attempt only to complete the test.

A formula sheet will be provided.

Exemplar:

What is the fair value of the SPI200 contract when the S&P/ASX 200 Index is trading at 6325.874, the risk-free rate
is 0.25%, the dividend yield of the S&P/ASX 200 Index is 2%, and the time to expiry of the contract is 147 days?
a) 6281.054

b) 6281

c) 6325

d) 6325.874
The correct answer is b) 6281. Whilst it is possible to calculate the answer to many decimal places, the SPI200
contract trades in whole numbers and thus 6281 is the correct answer.

Resources:

Open book

8
Marking Criteria:

Students shall be awarded the notated mark for each correct answer. No partial marks shall be awarded. No marks
shall be deducted for incorrect responses.

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2.4.2 Portfolio

Weight: 15%
Type of Collaboration: Individual
Due: Submit on VUWS site: 9 a.m every Thursday morning (VN Time) from Week 2-12;
In-class presentation: During normal class time from Session 2-12
Submission: In-class
Format: The Portfolio is the collection of answers to the weekly homework questions. Over the
semester, students are to submit their homework attempts each week by the due date.
A valid attempt is where students provide a short answer response to every homework
question provided at the end of the slide deck for the class from the previous week.

No marks are awarded for correct answers to the homework. Rather, marks are awarded
for submitting a valid attempt at the homework by the due date each week.
Students are also required to submit hard copies of the portfolios at the end of the
course.
Length: 10 minutes
Curriculum Mode: Presentation

Each week, students are to submit their portfolio (ie homework attempt) for that week to the Subject Coordinator
by the due date (9am Thursday morning). Students who submit their portfolio by the due date will receive the
weekly credit towards their portfolio grade for the subject. Students who fail to submit their portfolio to the Subject
Coordinator by the due date or who submit it after the due date shall receive no credit for that week towards their
Portfolio grade for the subject. Students who fail to submit any portfolio attempts by the appropriate due date during
the semester shall receive an automatic Fail Non-Submission grade for the subject

Exemplar:

If BHP is trading at $72.56, price the $72.50 European put and call options over this stock which have 289 days to
expiry, the risk free rate is 0.25%, the volatility of BHP is 48.5%, and BHP is expected to pay a dividend of $2.51
in 34 days and $2.68 in 216 days.
Answer: Call price is $9.61 and the put price is $14.59

Resources:

Open book
While students are encouraged to utilise the internet to gain a deeper understanding of the topics covered, answers
to the homework questions are to reflect the material covered in class.

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Marking Criteria:

Students shall be awarded 3% towards their Portfolio grade for the subject for a valid portfolio attempt submitted
each week to the Subject Coordinator by the due date up to a maximum of 15%. Students who fail to submit
their valid portfolio attempt by the due date shall receive no marks for the week. Portfolio submissions shall not be
individually graded (ie no marks shall be awarded for correctly answering questions). Rather, marks are awarded for
attempting the portfolio questions.

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2.4.3 Mid-semester examination

Weight: 25%
Type of Collaboration: Individual
Due: Session 10
Submission:
Format: Online multiple choice test that will be machine marked.
Attempting the exam is compulsory. Failure to attempt the exam during the period that
it is available will result in a Failure Non-Submission grade being awarded for the subject.
The exam will cover all material from weeks 1-9 of the subject.
Length: 1 hour
Curriculum Mode: Multiple Choice

Students are to attempt the online multiple choice exam (with a proctor) on a pre-confirmed date in week 10. Students
will have one attempt only to complete the exam.

A formula sheet will be provided.

Exemplar:

If BHP is trading at $72.56, price the $72.50 European put and call options over this stock which have 289 days to
expiry, the risk free rate is 0.25%, the volatility of BHP is 48.5%, and BHP is expected to pay a dividend of $2.51 in
34 days and $2.68 in 216 days.
a) call price is $9.61 and the put price is $14.59

b) call price is $14.59 and the put price is $9.61

c) call price is $9.65 and the put price is $14.63

d) call price is $14.63 and the put price is $9.65

Answer: a) Call price is $9.61 and the put price is $14.59

Resources:

Open book

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Marking Criteria:

Students shall be awarded the notated mark for each correct answer. No partial marks shall be awarded. No marks
shall be deducted for incorrect responses.

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2.4.4 Final examination

Weight: 50%
Type of Collaboration: Individual
Due: During formal examination period
Submission:
Format: The exam will comprise some short answer questions and mostly detailed computational
questions of multiple parts.
Attempting the exam is compulsory. Failure to attempt the exam during the period that
it is available will result in a Failure Non-Submission grade being awarded for the subject.
The exam will cover all material from the subject.
Length: 2 hours
Curriculum Mode: Final Exam

The final exam will cover the whole subject. It will be conducted as scheduled by the University’s Assessment and
Progression Subject and will be of two hours duration. A formula sheet will be provided. The minimum requirement
to pass the subject is an overall mark of 50 per cent. Students who fail the exam, or any other assessment component,
may still pass the subject provided their combined grade from all assessable elements is at least 50 per cent.

Resources:

The exam is closed book. Only non-programmable calculators are permitted.

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Marking Criteria:

Students shall be awarded the notated mark for each correct answer. One mark shall be deducted from questions
where students make minor errors in their computations up to a maximum of two minor errors. If the notated mark
for that question is two or less, the maximum mark that will be deducted for minor computational errors is the
notated mark for the question. If students make a third minor error in their computation for a question, students
shall receive no marks for that question.

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2.5 General Submission Requirements

Submission

– All assignments must be submitted by the specified due date and time.
– Complete your assignment and follow the individual assessment item instructions on how to submit. You must
keep a copy of all assignments submitted for marking.

Turnitin

– The Turnitin plagiarism prevention system may be used within this Subject. Turnitin is accessed via logging
into vUWS for the Subject. If Turnitin is being used with this Subject, this means that your assignments have
to be submitted through the Turnitin system. Turnitin from iParadigms is a web-based text-matching software
that identifies and reports on similarities between documents. It is also widely utilised as a tool to improve
academic writing skills. Turnitin compares electronically submitted papers against the following:
– Current and archived web: Turnitin currently contains over 24 billion web pages including archived pages
– Student papers: including Western Sydney University student submissions since 2007
– Scholarly literature: Turnitin has partnered with leading content publishers, including library databases,
text-book publishers, digital reference collections and subscription-based publications (e.g. Gale, Pro-
quest, Emerald and Sage)

– Turnitin is used by over 30 universities in Australia and is increasingly seen as an industry standard. It is
an important tool to assist students with their academic writing by promoting awareness of plagiarism.By
submitting your assignment to Turnitin you will be certifying that:
– I hold a copy of this assignment if the original is lost or damaged
– No part of this assignment has been copied from any other student’s work or from any other source except
where due acknowledgement is made in the assignment
– No part of the assignment has been written for me by any other person/s
– I have complied with the specified word length for this assignment
– I am aware that this work may be reproduced and submitted to plagiarism detection software programs for
the purpose of detecting possible plagiarism (which may retain a copy on its database for future plagiarism
checking).

Self-Plagiarising

– You are to ensure that no part of any submitted assignment for this Subject or product has been submitted by
yourself in another (previous or current) assessment from any Subject, except where appropriately referenced,
and with prior permission from the Lecturer/Tutor/Subject Coordinator of this Subject.

Late Submission

– If you submit a late assessment, without receiving approval for an extension of time, (see next item), you will
be penalised by 10% per day for up to 10 days. In other words, marks equal to 10% of the assignment’s weight
will be deducted from the mark awarded.
– For example, if the highest mark possible is 50, 5 marks will be deducted from your awarded mark for each late
day.
– Saturday and Sunday are counted as one calendar day each.
– Assessments will not be accepted after the marked assessment task has been returned to students.
– This is consistent with Western Sydney University’s Assessment Policy

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Extension of Due Date for Submission

A student may apply for an extension of the due date for an assessment task if extenuating circumstances outside their
control, and sufficiently grave in nature or duration, cause significant disruption to their capacity to study effectively.

To apply for an extension of assessment, please go to https://www.westernsydney.edu.au/currentstudents/current_

students/forms for guidance on how to lodge a request for consideration by the Subject Coordinator/Convenor.
Extension requests can be lodged before, on or no later than 5.00pm two working days after the due date of the
assessment task.

Resubmission

Resubmission of assessment items will not normally be granted if requested.

Disruption to Studies

It is strongly recommended that you attend all scheduled learning activities to support your learning. The University
will provide students who have experienced a serious and unavoidable disruption to their studies a Disruption to
Studies provision, which is an opportunity to demonstrate that you have met the learning outcomes for the subject.
To be eligible for a Disruption to Studies Provision, the disruption must impact your studies for at least three
consecutive days. More information, including how to apply for a Disruption to Studies, can be found on the
University website https://www.westernsydney.edu.au/currentstudents/current_students/services_and_facilities/
special_consideration

Supplementary Assessments

A student may be eligible to apply for a supplementary assessment after the official notification of final Subject
results. Please see the Procedures Section of the WSU Assessment Policy for details of eligibility and the application
process.

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 3 Teaching and Learning Activities

Weeks Topic Preparation Assessments Due

Week 1 Session 1 Chapters 1 and 2
16-05-2022
— Introduction to Derivatives
— Futures and Forwards
Week 2 Session 2 Chapter 2 - Portfolio
23-05-2022
— Margin, trading and closing out
Week 3 Session 3 Chapter 5 - Portfolio
30-05-2022
— Determination of forward and futures prices
— Forward valuation
Week 4 Session 4 Chapters 1 and 9 - Diagnostic examination
06-06-2022 - Portfolio
18

— Options
Week 5 Session 5 Chapters 10 - Portfolio
13-06-2022
— Put-call parity and arbitrage
Week 6 Session 6 Chapters 11 and 12 - Portfolio
20-06-2022
— Binomial tree option pricing
Week 7 Session 7 Chapter 13 - Portfolio
27-06-2022
— Black, Scholes, Merton option pricing
Week 8 Session 8 Chapter 4 - Portfolio
04-07-2022
— Debt pricing and yield curve
Week 9 Session 9 Chapter 3 - Portfolio
11-07-2022
— Hedging and basic risk
 Weeks Topic Preparation Assessments Due
Week 10 Session 10 REVISION - Portfolio
18-07-2022 - Mid-semester examination
— Mid-term examination
Week 11 Session 11 Chapter 7 - Portfolio
25-07-2022
— Swaps
Week 12 Session 12 - Portfolio
01-08-2022
REVISION
Week 13 EXAM PREPARATION WEEK (SELF-STUDY)
08-08-2022
Week 14
15-08-2022
Week 15
22-08-2022
19

The above timetable should be used as a guide only, as it is subject to change. Students will be advised of any changes as they become known on the Subject’s vUWS site.
4 Learning Resources

4.1 Recommended Readings

Prescribed Textbook

Hull, J 2014, Fundamentals of futures and options markets, 8th edn, Pearson, Harlow, Essex. (Available online).

Essential Reading

Refer to Readings & Resources link in vUWS

Additional Reading

Andersen, TJ 2006, Global derivatives: a strategic risk management perspective, Financial Times/Prentice Hall,
Harlow, England; New York.

Banks, E, Glantz, M & Siegel, P 2007, Credit derivatives: techniques to manage credit risk for financial professionals,
McGraw-Hill, New York.

Batten, J & Wagner, NF 2012, Derivative securities pricing and modelling, Emerald, Bingley, UK. (Available online)

Bouziane, M 2008, Pricing interest-rate derivatives: a Fourier-transform based approach, Springer-Verlag Berlin,
Heidelberg. (Available online)

Brychkov, IUA 2008, Handbook of special functions: derivatives, integrals, series and other formulas, CRC Press,
Boca Raton. (Available online)

Chance, DM & Brooks, R 2013, An introduction to derivatives and risk management, 7th edn, Thomson/South-
Western, Mason, Ohio. (Available online)

Chiarella, C 2015, Derivative security pricing techniques, methods and applications, Springer, Berlin. (Available
online)

Choudhry, M 2013, An introduction to credit derivatives, Elsevier, Amsterdam; Boston. (Available online)

Clenow, AF 2012, Following the trend: diversified managed futures trading, Wiley, New York. (Available online)

Dubofsky, DA & Miller, TW 2003, Derivatives: valuation and risk management, Oxford University Press, New York.

Eales, BA & Choudhry, M 2003, Derivative instruments: a guide to theory and practice, Butterworth-Heinemann,
Oxford; Boston. (Available online)

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Eales, BA & Choudhry, M 2003, Derivative instruments: a guide to theory and practice, Butterworth-Heinemann,
Oxford; Boston. (Available online)

Frino, A & Jarnecic, E 2005, Introduction to futures and options markets in Australia, Pearson Education Australia,
Frenchs Forest, NSW.

Goodman, LS 2008, Subprime mortgage credit derivatives, John Wiley & Sons, Hoboken, NJ. (Available online)

Hopkin, P 2013, Risk management, Kogan Page, London; Philadelphia, PA. (Available online)

Johnson, RS 2008, Introduction to derivatives: options, futures, and swaps, Oxford University Press, New York.

Kothari, V 2011, Credit derivatives and structured credit trading, Wiley, Hoboken, NJ. (Available online)

Kwok, Y-K, Avellaneda, M, Barone-Adesi, G, Broadie, M, Davis, MHA, Derman, E et al 2008, Mathematical models
of financial derivatives, 2nd edn, Springer Berlin Heidelberg, Berlin, Heidelberg. (Available online)

Levinson, M 2006, Guide to financial markets, 4th edn, Bloomberg, New York.

Malliaris, AS & Ziemba, WT (eds.) 2016, The world scientific handbook of futures markets, World Scientific
Publishing, Singapore; Hackensack, NJ. (Available online)

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