Unit convenor and teaching staff |
Unit convenor and teaching staff
Unit Convenor
Timothy Kyng
Contact via timothy.kyng@mq.edu.au
E4A614
By appointment. .
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Credit points |
Credit points
4
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Prerequisites |
Prerequisites
ACST603 or admission to MCom or MIntBus or MEc or 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 aims to provide students with a knowledge and understanding of the principles and techniques underlying the theory and practice of derivative Markets. You will learn about different valuation/modelling techniques and will need to understand the usefulness and shortcomings of these techniques when applied in practice. It primarily aims to give you the tools for quantitative analysis of transactions and securities including valuation and risk management for capital projects and securities. This includes computer-based numerical implementation using spreadsheet software. This unit is enables students to gain an understanding of the theoretical and practical skills necessary to understand financial derivatives.
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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:
A Standardised Numerical Grade (SNG) gives you an indication of how you have performed within the band for your descriptive grade. The SNG is not a mark, and you may not be able to work it out based on your raw examination and other assessment marks. Nor are you able to determine you are “one mark away” from a different grade.
It is the responsibility of students to view their marks for each within session assessment on iLearn within 20 working days of posting. If there are any discrepancies, students must contact the unit convenor immediately. Failure to do so will mean that queries received after the release of final results regarding assessment marks (not including the final exam mark) will not be addressed.
Name | Weighting | Due |
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Case Study | 16% | Week 13 |
Class Test | 10% | Week 7 |
Final Examination | 40% | Examination period |
Assignments 1 & 2 | 34% | Week 6, 10 |
Due: Week 13
Weighting: 16%
Submission
Essay type responses to be submitted online via iLearn / turnitin. Excel spreadsheet solutions to be submitted by iLearn too.
Individual work:
This is individual work, not group work.
Extension
No extensions will be granted. Late tasks will be accepted up to 72 hours after the submission deadline. There will be a deduction of 20% of the total available marks made from the total awarded mark for each 24 hour period or part thereof that the submission is late (for example, 25 hours late in submission – 40% penalty).
Due: Week 7
Weighting: 10%
Submission
This will be an in class test, answers must be written in an exam booklet and handed in at the end of the test period
Extension
No extensions will be granted. Students who have not sat the exam / test 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: Examination period
Weighting: 40%
Submission
The exam will be an open book exam and it will be conducted in a computer laboratory. Students may use excel during the exam. The exam will include essay type questions, mathematical / theory type questions and numerical questions.
Extension
No extensions will be granted. Students who have not sat the exam / test 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: Week 6, 10
Weighting: 34%
Submission
essay type responses to be submitted online via iLearn . Excel spreadsheet solutions to be submitted online via iLearn
Individual work:
These assignments are individual work, not group work.
Extension
No extensions will be granted. Late tasks will be accepted up to 72 hours after the submission deadline. There will be a deduction of 20% of the total available marks made from the total awarded mark for each 24 hour period or part thereof that the submission is late (for example, 25 hours late in submission – 40% penalty).
Classes
A 2-hour lecture will be held each week at E4B 214 on Tuesday from 3pm to 5pm.
A 1-hour tutorial / computer laboratory session will be held each week at E4B 214 on Tuesday from 5pm to 6pm.
For distance students:
All lecture and tutorial exercises and solutions will be available on iLearn.
The timetable for classes can be found on the University web site at:http://www.timetables.mq.edu.au/
Required and Recommended Texts and/or Materials
Textbooks:
There are no prescribed textbooks. Lecture notes will be provided..
Reference Books:
Beninga Principles of Finance with Excel, Oxford (ISBN 978 0 19 975547 9)
This book may be used to by students to learn about using excel for the various financial calculations involved in the course, during the tutorial / computer lab sessions.
Options Futures and Other Derivatives (6th Edition) by John Hull & Solutions Manual to
Options Futures and Other Derivatives (6th Edition) by John Hull
OR
Options Futures and Other Derivatives (7th Edition) by John Hull & Solutions Manual to
Options Futures and Other Derivatives (7th Edition) by John Hull
OR
Options Futures and Other Derivatives (8th Edition) by John Hull & Solutions Manual to
Options Futures and Other Derivatives (8th Edition) by John Hull
Technology Used and Required
Unit Web Page
Course material is available on the learning management system (iLearn)
The web page for this unit can be found at: http://ilearn.mq.edu.au/course/view.php?id=17757
Teaching and Learning Activities
Changes since last offering
Nil
week 1 |
Interest rates, debt securities and the term structure structure of interest rates. |
Lecture notes |
week 2 | Forward and futures contracts | Lecture notes |
week 3 | Interest rate and currency swaps, valuation and applications | Lecture notes |
week 4 | Introduction to options and the Black Scholes Formula | Lecture notes |
week 5 | The binomial option pricing method, dynamic hedging and the law of one price, risk neutral valuation | Lecture notes |
week 6 |
Mathematical background for option pricing: Statistical Theory, Calculus, Brownian Motion, Ito’s Lemma |
Lecture notes |
week 7 |
Mid semester test. |
Lecture notes |
mid term break | ||
week 8 | Valuation Methodology: PDEs, Risk Neutral Discounted Expectation, Examples. | Lecture notes |
week 9 | Numerical valuation methods: Monte Carlo Simulation and Lattice Methods | Lecture notes |
week 10 | Exotic Options & Case Studies of applying analytical & numerical methods | Lecture notes |
week 11 | Hedging, portfolio insurance, case studies | Lecture notes |
week 12 | Standard Interest rate derivative products and valuation models | Lecture notes |
week 13 | Measurement of Market Risk | Lecture notes |
exam period |
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 http://www.businessandeconomics.mq.edu.au/current_students/undergraduate/how_do_i/special_consideration
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:
Our postgraduates will be capable of systematic enquiry; able to use research skills to create new knowledge that can be applied to real world issues, or contribute to a field of study or practice to enhance society. They will be capable of creative questioning, problem finding and problem solving.
This graduate capability is supported by:
This unit uses research by both Macquarie University researchers and from
external sources (references will be given in the lectures, tutorials and assignment).
This unit gives you practice in applying research findings in your tutorials and assignments.
Date | Description |
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30/07/2014 | the timing of the lectures should be tuesdays 3-6 not wednesdays 3-6 |