FINC623-24S2 (C) Semester Two 2024

Advanced Derivative Securities

15 points

Start Date: Monday, 15 July 2024
End Date: Sunday, 10 November 2024
Withdrawal Dates
Last Day to withdraw from this course:
  • Without financial penalty (full fee refund): Sunday, 28 July 2024
  • Without academic penalty (including no fee refund): Sunday, 29 September 2024


Detailed analysis of complex derivative securities, including valuation, hedging, speculation, arbitrage and risk management.

The course provides students with mathematical tools needed for derivation of key models like Cox‐Ross‐Rubinstein Binomial model and Black‐Scholes model. It offers also detail introduction to Binomial Heath‐Jarrow‐Morton model. The cases from leading academic journals will be discussed in class in order to help a student to 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. Graduates with skills in derivative products are often highly sought after by the industry, especially in risk management departments and trading floors of major financial institutions. As financial risk becomes more and more important in the light of the GFC crisis 2007/08 and Covid‐19 pandemic, the demand for graduates skilled in risk management/derivative products will continue to grow.


Subject to approval of the Head of Department.

Timetable 2024

Students must attend one activity from each section.

Lecture A
Activity Day Time Location Weeks
01 Thursday 15:00 - 17:00 A8 Lecture Theatre
15 Jul - 25 Aug
9 Sep - 20 Oct

Course Coordinator / Lecturer

Jedrzej Bialkowski


Assessment Due Date Percentage 
Written Report 15%
Mid-semester Test 30%
Bloomberg assignment 15%
Final Exam 40%

Textbooks / Resources

Calculator: A financial calculator is strongly recommended. The teaching staff will use Texas Instruments BA II Plus financial calculator

Software: As part, of course students will be required to prepare SAS codes and run simulations required for valuation of derivatives products. SAS software will be used for assignment worth 20% of final grade.

Indicative Fees

Domestic fee $1,066.00

* 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

  • FINC623-24S2 (C) Semester Two 2024