Unit convenor and teaching staff |
Unit convenor and teaching staff
Unit Convenor
Ryle Perera
Contact via ryle.perera@mq.edu.au
E4A 229
Refer to iLearn
Administrator
Kenneth Wong
Contact via Email
Refer to iLearn
Refer to iLearn
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Credit points |
Credit points
3
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Prerequisites |
Prerequisites
6cp at 200 level including (ACCG252 or AFIN252)
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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 explores the principles, theory and techniques of asset pricing. The first half of the unit focuses on portfolio analysis and multifactor models applicable to problems in investment analysis and asset allocation. The second half of the unit focuses on pricing techniques driven by arbitrage arguments. Arbitrage or relative pricing arguments underpin powerful, robust methods for pricing derivative securities. Upon successful completion of this unit students will: understand the economic arguments underlying important asset pricing models; be able to apply the models to practical problems; and have developed an awareness of the need to consider the limitations of models and techniques when applied to non-textbook examples. The unit aims to develop graduate capabilities in critical, analytical and integrative thinking, problem solving and research.
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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:
Name | Weighting | Due |
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Class Participation | 5% | Lecture Weeks 2-13 |
Class Test | 20% | Week 9 |
Assignment | 15% | Submission Weeks 10 |
Final Examination | 60% | University Examination Period |
Due: Lecture Weeks 2-13
Weighting: 5%
Each week you will be marked on your participation in problem solving activities as well as an oral component where you will be asked to critically analyze and discuss a tutorial question.
What is required to complete the unit satisfactorily
Regular participation in problem solving activities and class discussions as well as completion of homework assignments by the due date.
Due: Week 9
Weighting: 20%
Submission
The Class Test is scheduled to be held during regular lecture day and time in Week 9 (week commencing 13th October, 2014). Refer to iLearn for further details (test venues will be posted closer to the class test date).
Total time available for the class test is 90 minutes. The class test is based on topics covered during lectures 1 to 6, inclusive. No dictionaries of any kind are allowed in the class test. Non-programmable calculators are allowed, provided that they are not capable of storing text.
Extension
No extensions will be granted. Students who do not sit the test will be awarded a mark of 0, except for cases in which an application for special consideration is made and approved.
Penalties
Students who have not completed this exam will be awarded a mark of zero for this task, except for cases in which an application for special consideration is made and approved. If approval is granted then you have to complete a supplementary class test during week 11 commencing (27th October, 2014).
Due: Submission Weeks 10
Weighting: 15%
The assignment question will be posted on iLearn in Lecture Week 3 (commencing 18th August, 2014). Students will be required to carry out research as a group (4-5 students) to meet the requirements of the assignment. These groups must be formed by Lecture Week 3. Groups must be composed of students within the same tutorial group. Tutors must be advised of the members of these groups by the end of Lecture Week 3.
Submission
The assignment must be submitted by each group in type written format (one for each group. No electronic submissions allowed) to BESS in Lecture Week 10.
Extension
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 cases in which an application for special consideration is made and approved.
Due: University Examination Period
Weighting: 60%
Examination conditions
The final exam is based on topics covered during lecture weeks 1 to 13, inclusive. Total time available for the final examination is 3 hours plus 10 minutes reading time. No dictionaries of any kind are allowed in the final examination. Non–programmable calculators are allowed, provided that they are not capable of storing text.
The University Examination period commences on 17th November 2014. You are expected to present yourself for examination at the time and place designated in the University Examination Timetable. The timetable will be available in draft form approximately eight weeks before the commencement of the examinations and in Final form approximately four weeks before the commencement of the examinations. http://www.timetables.mq.edu.au/exam
Supplementary Exams
The University recognises that students may experience disruptions that adversely affect their academic performance in assessment activities. In case of an unavoidable and unexpected event or illness, an application for disruption to studies can be lodged. The Disruption to Studies Policy applies only to serious and unavoidable disruptions that arise after a study period has commenced. If your application is approved, a supplementary exam will be held after the formal exam.
Further information regarding supplementary exams, including dates, is available here:
http://students.mq.edu.au/student_admin/exams/disruption_to_studies/
What is required to complete the unit satisfactorily
To be eligible to pass this unit, a pass is required in the final examination.
Delivery and Resources
Prizes for this unit (see).
http://www.buisnessandeconomics.mq.edu.au/undergraduate_degrees/prizes_scholarships
Lecture Week |
Lecture Topic |
1 - (4 August) |
Overview of Mean-Variance Portfolio Theory |
2 - (11 August) |
Mean Variance Portfolio Theory and Techniques for Calculating the Efficient Frontier |
3 - (18 August) |
Introduction to Derivatives and Mechanics of Futures Market |
4 - (25 August) |
Hedging Strategies using Futures and Determination of Forward and Futures Prices |
5 - (1 September) |
Swaps |
6 - (8 September) |
Mechanics of Option Markets and Properties of Stock Options |
7 - (15 September) |
Trading Strategies Involving Options |
22 September - 6 October |
Mid-Semester Recess |
8 - (7 October) |
Introduction to Binomial Trees |
9 - (13 October) |
*Class Test* |
10 - (20 October) |
Valuing Stock Options: The Black Scholes Model |
11 - (27 October) |
Options on Stock Indices and Currencies and Futures Options |
12 - (3 November) |
Greek Letters |
13 - (10 November) |
Revision |
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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.
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This graduate capability is supported by:
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This graduate capability is supported by:
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This graduate capability is supported by:
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Questions and Problems: Ch. 4: 1.2 & 3
Readings: Lecture for Week 2
Questions and Problems: Ch. 5: 1, 4 . Ch. 6: 1, 2 Extension Ch. 5: 5 & Ch. 6: 5
Questions and Problems: Ch.1: 1.9, 1.12, 1.16, 1.20, 1.22, 1.32 Ch. 2: 2.8, 2.9, 2.25 & 2.28
Readings: Lecture for Week 4
Questions and Problems: Ch.3: 3.9, 3.11, 3.12, 3.13, 3.14, 3.15 & 3.19 Ch 5. 5.8, 5.13, 5.16, 5.20
Readings: Lecture for Week 5
Questions and Problems: Ch. 7: 7.8, 7.9, 7.12, 7.15, 7.16, 7.17 & 7.22
Readings: Lecture for Week 6
Questions and Problems: Ch. 9: 9.8, 9.9, 9.10, 9.13, 9.20 & 9.23 Ch. 10: 10.8, 10.9, 10.10, 10.14 & 10.23
Readings: Lecture for Week 7
Questions and Problems: Ch. 11: 11.8, 11.9, 11.12, 11.19 & 11.22
Readings: Lecture for Week 8
Questions and Problems: Ch. 12: 12.9, 12.10, 12.11, 12.12 & 12.13
Readings: Lecture for Week 10
Questions and Problems: Ch.13: 13.8, 13.9, 13.10 & 13.12
Readings: Lecture for Week 11
Questions and Problems: Ch. 15: 15.8, 15.9 & 15.10 Ch. 16: 16.8, 16.9, 16.11, 16.17, 16.18 & 16.19
Readings: Lecture for Week 12
Questions and Problems: Ch.17: 17.8, 17.9, 17.13, 17.18 & 17.21
Week 13: Revision
Date | Description |
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06/08/2014 | Portfolio Theory will be taught. |