Unit convenor and teaching staff |
Unit convenor and teaching staff
Unit Convenor
Jim Farmer
Contact via jim.farmer@mq.edu.au
E4A 616
Refer to the unit's web site
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Credit points |
Credit points
4
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Prerequisites |
Prerequisites
(ACST603 and ACST604) or admission to MActPrac prior to 2011
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Corequisites |
Corequisites
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Co-badged status |
Co-badged status
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Unit description |
Unit description
This unit provides a rigorous mathematical development of compound interest theory, using calculus where appropriate. Topics include the force of interest and its relationship to interest rates, inflation and capital gains tax, discrete and continuous term certain annuities, project appraisal, loans, bonds, yield curves, matching and immunisation, pricing by the 'no arbitrage' assumption, and forward rate agreements. Students are assumed to be able to use the basic functionality of a spreadsheet package of their choice.
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Information about important academic dates including deadlines for withdrawing from units are available at https://www.mq.edu.au/study/calendar-of-dates
On successful completion of this unit, you will be able to:
Macquarie University uses the grades HD, D, Cr, P and F for grading the achievements of students in units of study. The meaning of each symbol is explained in the grading policy at
http://www.mq.edu.au/policy/docs/grading/policy.html
Name | Weighting | Due |
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Quizzes | 15% | Various over Weeks 2 to 6 |
Assignment | 15% | Monday 27 October 10am. |
Final Examination | 70% | Standard exam period |
Due: Various over Weeks 2 to 6
Weighting: 15%
You should complete these quizzes online. They are on this unit's iLearn web site.
There are 6 quizzes covering topics 1 to 6. The quiz for a topic becomes available at 12:01am on the day after the tutorial on that topic, and closes at 11:59pm on the day before the next tutorial. That is, each quiz is available for 2 minutes less than 6 days.
Your total quiz mark is simply the sum of your marks from each quiz. Since the quizzes have different numbers of questions, this means the quizzes are not equally weighted in the assessment.
No extensions will be granted. Students who have not submitted the task prior to the deadline will be awarded a mark of 0 for the task, except for cases in which an application for special consideration is made and approved.
Due: Monday 27 October 10am.
Weighting: 15%
The assignment must be submitted to the lecturer at any class by Monday 27 October 10am.
No extensions will be granted. Students who have not submitted the task prior to the deadline will be awarded a mark of 0 for the task, except for cases in which an application for special consideration is made and approved.
Due: Standard exam period
Weighting: 70%
To be eligible for a passing grade in this unit a pass is required in the final examination.
Students are permitted to use non-programmable calculators with no text-retrieval capacity.
The Macquarie University examination policy details the principles and conduct of examinations at the University. The policy is available at: http://www.mq.edu.au/policy/docs/examination/policy.htm
Classes
There are 5 hours of face-to-face teaching per week consisting of 3 hours of lectures and 2 hours of tutorial.
Class times can be found at: http://www.timetables.mq.edu.au/
Required and Recommended Texts and/or Materials
No textbooks are prescribed for this unit. Detailed notes, exercises and solutions are available on the unit's web site. The web site also contains a list of all textbooks we are aware of covering significant amounts of the material in this unit.
Technology Used and Required
You will require a calculator. For the final exam, you may only use non-programmable calculators which are not able to store text. You may find it useful to be able to construct spreadsheets to verify your solutions to tutorial exercises. You will also be required to use a spreadsheet for the assignment. We do not prescribe any particular brand of spreadsheet.
You require access to a computer to access material on the unit's iLearn web site.
Unit Web Site
The web site for this unit can be accessed at http://ilearn.mq.edu.au
Teaching and Learning Activities
This unit is taught via lectures and tutorials. However, a significant amount of the lecture time will be spent on attempting problems. The emphasis is on learning by doing.
The unit's iLearn web site contains a version of this schedule with clearer formatting.
Week |
Week Begins |
Topics Covered in Lectures
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1 |
4 Aug |
0. Preliminaries. (Reading only) 1. Interest Rates – Discrete time scenarios |
2 |
11 Aug |
2. Inflation and Capital Gains Tax 3. Forces of Interest – Continuous time scenarios |
3 |
18 Aug |
4. Level Annuities |
4 |
25 Aug |
5. Varying Annuities Sunday 31 August – Census Date |
5 |
1 Sep |
6. Loans |
6 |
8 Sep |
7. Project Appraisal |
7 |
15 Sep |
10. Bonds |
2-week study break |
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8 |
6 Oct |
8. Measuring Investment Performance Public Holiday Monday 9. Investments and Industry Jargon (Reading only) |
9 |
13 Oct |
11. Yield Curves |
10 |
20 Oct |
12. Forward Contracts |
11 |
27 Oct |
13. Bond Statistics |
12 |
3 Nov |
14. Immunisation |
13 |
10 Nov |
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Topics 8 to 10 have been reordered to work around the lost lectures in Week 8.
Macquarie University policies and procedures are accessible from Policy Central. Students should be aware of the following policies in particular with regard to Learning and Teaching:
Academic Honesty Policy http://mq.edu.au/policy/docs/academic_honesty/policy.html
Assessment Policy http://mq.edu.au/policy/docs/assessment/policy.html
Grading Policy http://mq.edu.au/policy/docs/grading/policy.html
Grade Appeal Policy http://mq.edu.au/policy/docs/gradeappeal/policy.html
Grievance Management Policy http://mq.edu.au/policy/docs/grievance_management/policy.html
Disruption to Studies Policy http://www.mq.edu.au/policy/docs/disruption_studies/policy.html The Disruption to Studies Policy is effective from March 3 2014 and replaces the Special Consideration Policy.
In addition, a number of other policies can be found in the Learning and Teaching Category of Policy Central.
Macquarie University students have a responsibility to be familiar with the Student Code of Conduct: https://students.mq.edu.au/support/student_conduct/
Supplementary Exams
Further information regarding supplementary exams, including dates, is available here
Macquarie University provides a range of support services for students. For details, visit http://students.mq.edu.au/support/
Learning Skills (mq.edu.au/learningskills) provides academic writing resources and study strategies to improve your marks and take control of your study.
Students with a disability are encouraged to contact the Disability Service who can provide appropriate help with any issues that arise during their studies.
For all student enquiries, visit Student Connect at ask.mq.edu.au
For help with University computer systems and technology, visit http://informatics.mq.edu.au/help/.
When using the University's IT, you must adhere to the Acceptable Use Policy. The policy applies to all who connect to the MQ network including students.
Our postgraduates will be able to demonstrate a significantly enhanced depth and breadth of knowledge, scholarly understanding, and specific subject content knowledge in their chosen fields.
This graduate capability is supported by:
Our postgraduates will be capable of utilising and reflecting on prior knowledge and experience, of applying higher level critical thinking skills, and of integrating and synthesising learning and knowledge from a range of sources and environments. A characteristic of this form of thinking is the generation of new, professionally oriented knowledge through personal or group-based critique of practice and theory.
This graduate capability is supported by:
Mathematics of finance has a long history. Most of the mathematical theory used in this unit was developed over a century ago. Hence the research we are using can be found in textbooks on mathematics of finance, rather than needing to source recent research papers.
The development of computers in the 1960s, cheap electronic calculators in the 1970s and spreadsheets in the 1980s revolutionised the subject of mathematics of finance. Before computers many maths of finance problems were conceptually simple but the sheer length of the calculations required made exact calculations expensive to implement, and many clever approximate techniques were developed to work around this. Now, many approximate techniques are not required, since computers can easily implement the lengthy calculations required to apply the theory exactly. While a textbook from 50 years ago might contain many concepts that are now irrelevant, it probably also contains most of the theory we still need for this unit.
Computers did also lead to the development of new ideas in mathematics of finance, notably in stochastic modelling. That new material mostly falls in the more advanced units ACST816 and ACST817 rather than in this introductory unit.