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
Angela Chow
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Credit points |
Credit points
3
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Prerequisites |
Prerequisites
6cp at 200 level including (AFIN252 or AFIN270 or STAT272)
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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 characteristics and pricing of derivatives. The importance of the principles of hedging and arbitrage in derivative pricing, is considered. Derivatives investigated include forwards, futures, options and various structured products. In particular, the unit covers non-standard securities and numerical methods.
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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:
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 tasks (not including the final exam mark) will not be addressed.
Name | Weighting | Due |
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Class Test | 20% | Week 7 |
Assignment | 20% | Mon 23rd May |
Final Examination | 60% | University Examination Period |
Due: Week 7
Weighting: 20%
Submission
The Class Test is scheduled to be held during regular lecture day and time in Week 7 (week commencing 25th April, 2016). 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 5, 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.
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 10 commencing (16th May, 2016).
Due: Mon 23rd May
Weighting: 20%
The assignment question will be posted on iLearn in Week 3 (commencing 14th March, 2016). 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 Week 3. More details will be available on iLearn.
Submission
The assignment must be submitted by each group in hardcopy format (one for each group) to BESS in Week 11 Mon 23rd May 2016, by 12 noon as well as via Turnitin on iLearn.
Extension
No extensions will be granted. There will be a deduction of 10% 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 – 20% penalty). This penalty does not apply for cases in which an application for disruption of studies is made and approved. No submission will be accepted after solutions have been posted
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 14th June 2016. 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 recognizes 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.
More information regarding disruption to studies 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 - (29 February) |
Introduction to Derivatives and Mechanics of Futures Market |
2 - (07 March) |
Hedging Strategies using Futures |
3 - (14 March) |
Interest rates |
4 - (21 March) |
Determination of Forward and Futures Prices |
5 - (28 March) |
Swaps |
6 - (04 April) |
Mechanics of Option Markets and Properties of Stock Options |
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MID SEMESTER RECESS |
7 - (25 April) |
CLASS TEST |
8 - (02 May) |
Trading Strategies Involving Options |
9 - (09 May) |
Introduction to Binomial Trees |
10 - (16 May) |
Valuing Stock Options: The Black Scholes Model |
11 - (23 May) |
Options on Stock Indices and Currencies and Futures Options |
12 - (30 May) |
Greek Letters |
13 - (06 June) |
Revision |
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
New Assessment Policy in effect from Session 2 2016 http://mq.edu.au/policy/docs/assessment/policy_2016.html. For more information visit http://students.mq.edu.au/events/2016/07/19/new_assessment_policy_in_place_from_session_2/
Assessment Policy prior to Session 2 2016 http://mq.edu.au/policy/docs/assessment/policy.html
Grading Policy prior to Session 2 2016 http://mq.edu.au/policy/docs/grading/policy.html
Grade Appeal Policy http://mq.edu.au/policy/docs/gradeappeal/policy.html
Complaint Management Procedure for Students and Members of the Public http://www.mq.edu.au/policy/docs/complaint_management/procedure.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/
Results shown in iLearn, or released directly by your Unit Convenor, are not confirmed as they are subject to final approval by the University. Once approved, final results will be sent to your student email address and will be made available in eStudent. For more information visit ask.mq.edu.au.
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.
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