Unit convenor and teaching staff |
Unit convenor and teaching staff
Unit Convenor
Nino Kordzakhia
Contact via E-mail
Room 610, 12 Wally's Walk (E7A)
TBA
Lecturer
Thomas Fung
Contact via 02 9850 4769
Room 626, 12 Wally's Walk (E7A)
TBA
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Credit points |
Credit points
4
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Prerequisites |
Prerequisites
Admission to MRes
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Corequisites |
Corequisites
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Co-badged status |
Co-badged status
STAT790
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Unit description |
Unit description
This unit serves as an introduction to the modern financial theory of security markets, and, in particular, share prices and derivatives. It explains how the financial markets work using appropriate mathematical and statistical models and tools. The material provides essential skills to those conducting research in the finance and banking sectors.
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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 | Hurdle | Due |
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Online Quiz 1 | 10% | No | Week 3 |
Test | 15% | No | Week 7 |
Online Quiz 2 | 10% | No | Week 10 |
Assignment | 15% | No | Week 12 |
Final Examination | 50% | No | TBA |
Due: Week 3
Weighting: 10%
The Online Quiz 1 notification will be issued in Week 2.
The quiz will be made available from 9:00 Thursday 17/08 on the iLearn site of the unit. The quiz's due date is 9:00 Friday 18/08.
No extensions will be given, except for cases in which a Special Consideration is granted on the basis of Disruption to Studies (DS) application. According to Macquarie University Disruption to Studies Policy all DS applications must include supporting documentary evidence and are to be made online
Due: Week 7
Weighting: 15%
This is open book class test.
In case you are not available to sit the test due to unavoidable circumstances you may wish to consult Disruption to Studies Policy
Due: Week 10
Weighting: 10%
Details of this online quiz will be made available via iLearn at a later date.
No extension will be given, except for cases in which a Special Consideration is granted on the basis of Disruption to Studies (DS) application. According to Macquarie University Disruption to Studies Policy all DS applications must include supporting documentary evidence and are to be made online
Due: Week 12
Weighting: 15%
The assignment will be made available through iLearn and is to be completed individually.
No extension will be given, except for cases in which a Special Consideration is granted on the basis of Disruption to Studies (DS) application. According to Macquarie University Disruption to Studies Policy all DS applications must include supporting documentary evidence and are to be made online
Due: TBA
Weighting: 50%
A three-hour long final examination will be held during the University Examination period.
You are permitted ONE A4 page of paper containing reference material printed or handwritten on both sides. The page will not be returned at the end of the final examination. Calculators will be needed but must not be of the text/programmable type.
You must 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 at
https://students.mq.edu.au/study/exams-and-results/exam-timetables
The only exception to not sitting an examination at the designated time is because of documented illness or unavoidable disruption. In these circumstances you may wish to consult Disruption to Studies Policy
http://http://mq.edu.au/policy/docs/disruption_studies/policy.html.
Important:
If you lodge the Disruption to Studies application for your final examination, you must make yourself available for the week of December 11 – 15.
The Macquarie university examination policy details, the principles and conduct of examinations at the University can be viewed at
Classes
Lectures begin in Week 1.
Students must attend three hours of lectures per week. The lecture slides and exercises will be made available on iLearn before the lecture.
The timetable for classes can be found at http://www.timetables.mq.edu.au
iLearn
All unit related materials including lecture notes, tutorials and instructions for assessment tasks and administrative updates, will be posted on iLearn at
https://ilearn.mq.edu.au/login/
Software/ Technologies Used
Matlab and R are the recommended software in this unit.
Students will need to use a calculator for the test and final examination.
Textbook
There is no textbook for this unit.
The list of recommended texts:
Capinski, M. and Zastawniak, T. (2003). Mathematics for Finance: An Introduction to Financial Engineering. Springer.
Lai, T. L. and Xing, H. (2008). Statistical models and methods for financial markets. Springer.
Luenberger, D.G. (1998). Investment Science, Oxford University Press.
Musiela, M. and Rutkowski, M. (1997). Martingale methods in financial modelling. Springer.
Pliska, S. R. (1997). Introduction to mathematical finance: discrete time models. Blackwell Publishing.
Ruppert, D. (2004). Statistics and Finance: An Introduction. Springer.
Shreve, S. (2004). Stochastic Calculus for Finance Vol II: Continuous-Time Models. Springer.
Date |
Week |
Topic |
Assessment |
2 August |
1 |
Introduction: Simple Market Model |
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9 August |
2 |
Continuous-time models |
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16 August |
3 |
Black-Scholes-Merton (BSM) model: No-arbitrage and risk-neutral pricing |
Online Quiz 1 |
23 August |
4 |
BSM model: Option pricing |
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30 August |
5 |
BSM model: Option pricing (cont.) |
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6 September |
6 |
Financial engineering |
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13 September |
7 |
Credit risk modelling |
Test |
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Mid-session break |
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4 October |
8 |
Interest rate modelling |
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11 October |
9 |
Interest rate modelling (cont.); Introduction to Portfolio |
Online Quiz 2 |
18 October | 10 | Theory Portfolio optimisation theory | |
25 October |
11 |
Portfolio optimisation theory (cont.) |
Assignment |
1 November |
12 |
Capital asset pricing model |
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8 November |
13 | Capital asset pricing model (cont.) |
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_2016.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 (in effect until Dec 4th, 2017): http://www.mq.edu.au/policy/docs/disruption_studies/policy.html
Special Consideration Policy (in effect from Dec 4th, 2017): https://staff.mq.edu.au/work/strategy-planning-and-governance/university-policies-and-procedures/policies/special-consideration
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.
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://www.mq.edu.au/about_us/offices_and_units/information_technology/help/.
When using the University's IT, you must adhere to the Acceptable Use of IT Resources 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:
In this offering the assessment weightings have been adjusted according to the amount of work and effort required for their completion. There are no hurdle assessment tasks.
Date | Description |
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23/07/2017 | N/A |