Unit convenor and teaching staff |
Unit convenor and teaching staff
Unit Convenor
Colin Zhang
E4A 227
Refer to iLearn
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Credit points |
Credit points
4
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Prerequisites |
Prerequisites
ACST603 or (admission to MActPrac post 2014)
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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:
GradeBook
Assignment and class test mark are available on GradeBook. 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."
Feedback Prior to the Census Date
Self-assessment exercise question(s) will be released in Week 3 for feedback prior to the census date. Its answer will be also provided before the census date in Week 4.
Assessment criteria for all assessment tasks will be provided on the unit iLearn site.
Name | Weighting | Hurdle | Due |
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Assignment | 20% | No | Wednesday 12 September 4:00pm |
Class Test | 20% | No | Thursday 25 October 8:00am |
Final Examination | 60% | No | Examination period |
Due: Wednesday 12 September 4:00pm
Weighting: 20%
Submission
Essay type responses and Excel spreadsheet solutions via both on iLearn and ACST828 Assignment Box in BESS.
Individual work:
These assignments are individual work, not group work.
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 special consideration is made and approved. No submission will be accepted after solutions have been posted.
Due: Thursday 25 October 8:00am
Weighting: 20%
Length
Ninety (90) minutes
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: 60%
Length
Two (2) hours and thirty (30) minutes plus ten (10) minutes reading time
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 ffor cases in which an application for special consideration is made and approved.
Classes
A 2-hour lecture will be held each week.
A 1-hour tutorial / computer laboratory session will be held each week.
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
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 |
Valuation Methodology: PDEs, Risk Neutral Discounted Expectation, Examples. (Assignment is due - Wednesday 12 September 4:00pm) |
Lecture notes |
mid term break | ||
week 8 | Numerical valuation methods: Monte Carlo Simulation and Lattice Methods | Lecture notes |
week 9 | Exotic Options & Case Studies of applying analytical & numerical methods | Lecture notes |
week 10 |
Hedging, portfolio insurance, case studies |
Lecture notes |
week 11 |
Class test (Thursday 25 October 8:00am) |
Lecture notes |
week 12 | Standard Interest rate derivative products and valuation models | Lecture notes |
week 13 | Measurement of Market Risk | Lecture notes |
exam period |
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Supplementary Exams
Information regarding supplementary exams, including dates, is available at:
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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.
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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.