Unit convenor and teaching staff |
Unit convenor and teaching staff
Martina Linnenluecke
Contact via Refer to ilearn
Refer to ilearn
Refer to ilearn
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Credit points |
Credit points
4
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Prerequisites |
Prerequisites
Permission by special approval
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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 is designed to introduce students to the major models of asset pricing and to rational expectations models. By using various asset pricing models, the unit will examine the economic intuition behind each model as well as providing a mathematically rigorous derivation of the model. The important features of these models, and their testable implications, will also be discussed.
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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 marks (not including the final exam mark) will not be addressed.
Assessment criteria for all assessment tasks will be provided on the unit iLearn site.
Feedback prior to census date
The course is taught in block mode. Students will be required to do some in class exercises during the first block class. This will enable you to understand if you are progressing well in the unit. If you are experiencing any difficulty in learning, please discuss with the unit convenor for advice or withdraw from the unit before census date.
Name | Weighting | Hurdle | Due |
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Assignment 1 | 20% | No | Refer to ilearn |
Assignment 2 | 20% | No | Refer to ilearn |
Final Exam | 60% | No | Refer to ilearn |
Due: Refer to ilearn
Weighting: 20%
The assignment can be done either individually or in groups but group work is encouraged as this helps to develop a cohort which is very valuable to you as your research career goes forward.
Each group will get a chance to present solutions to the problems in class. This gives the other students in the class a chance to see how a particular group approached the problems, and also provide members of the presenting group with an opportunity to develop their presentation skills.
Type of Collaboration: Individual or or group Submission: In class Format: Refer to ilearn Length: Refer to ilearn Inherent Task Requirement: Refer to ilearn Late Submission: 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: Refer to ilearn
Weighting: 20%
The assignment can be done either individually or in groups but group work is encouraged as this helps to develop a cohort which is very valuable to you as your research career goes forward.
Each group will get a chance to present solutions to the problems in class. This gives the other students in the class a chance to see how a particular group approached the problems, and also provide members of the presenting group with an opportunity to develop their presentation skills.
Type of Collaboration: Individual or or group Submission: In class Format: Refer to ilearn Length: Refer to ilearn Inherent Task Requirement: Refer to ilearn Late Submission: 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: Refer to ilearn
Weighting: 60%
Final Examination will test topics covered throughout the session.
Type of Collaboration: Individual Submission: In class Format: Closed book, no notes Length: 3 hours Inherent Task Requirements: Refer to ilearn Late Submission: No extensions will be granted. Students who do not sit the 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.Recommended Text: | There are no required texts for this course. The following books are useful references:
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Unit Web Page: |
Course material is available on the learning management system (iLearn) Students should consult the web page frequently. Learning, teaching and other reference materials are posted to this site throughout the session. |
Technology Used and Required: | Access to ilearn and unit webpage. |
Timetable Summary: |
Module 1 Saturday/Sunday 16th-17th March Module 2 Saturday/ Sunday 4th -5th May Module 3 Saturday/ Sunday 18th-19th May |
Venue: |
The class is at the Macquarie University City Campus, Floor 24, 123 Pitt Street Sydney. We are booked in room 2408 and we will have access to all the syndicate rooms on level 23. The lifts are programmed to be free running between 8.15am & 3.30pm. A staff member will be at the Pitt St entrance to support access during peak times. It is a secure Building so you should aim to enter the building from 8.30am and before 9.00am & report to reception on level 24. Anyone outside that time will need to use the intercom at the Pitt St entrance and identify themselves. Staff will check with the Attendee List before providing access. We will have to use the intercom when we return after break times. |
Date | Module | Topic | Reading/ References |
Saturday/Sunday 16th-17th March |
Module 1 Discrete Time Models |
The Capital Asset Pricing Model (CAPM) |
Class Notes Huang and Litzenberger chapters 3 and 4 Ingersoll chapters 3 and 4 |
The Arbitrage Pricing Theory (APT) |
Class Notes Ingersoll chapters 2 and 7 |
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State Preference Models |
Class Notes Huang and Litzenberger chapters 5, 6, and 7 |
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The Lucas Model |
Class Notes Ingersoll chapters 10 and 11 |
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The Pricing Kernel Approach: Putting the Models together |
Class Notes |
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Saturday/ Sunday 4th -5th May |
Module 2 Continuous Time Models |
Continuous Time Mathematics |
Class Notes Ingersoll chapters 12 and 16 |
The Black--Scholes Option Pricing Model |
Class Notes Ingersoll chapter 14 |
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The Merton Model |
Class Notes Ingersoll chapter 13 |
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The Breeden Model |
Class Notes Ingersoll chapter 15 |
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The Cox--Ingersoll--Ross Model (CIR) |
Class Notes Ingersoll chapter 18 |
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Saturday/ Sunday 18th-19th May |
Module 3 Rational Expectations Models |
The Grossman Model |
Class Notes |
The Admati Model |
Class Notes |
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The Kyle Model |
Class Notes |
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Extensions of the Kyle Model and future directions |
Class Notes |
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Review of the Course |
Macquarie University policies and procedures are accessible from Policy Central (https://staff.mq.edu.au/work/strategy-planning-and-governance/university-policies-and-procedures/policy-central). Students should be aware of the following policies in particular with regard to Learning and Teaching:
Undergraduate students seeking more policy resources can visit the Student Policy Gateway (https://students.mq.edu.au/support/study/student-policy-gateway). It is your one-stop-shop for the key policies you need to know about throughout your undergraduate student journey.
If you would like to see all the policies relevant to Learning and Teaching visit Policy Central (https://staff.mq.edu.au/work/strategy-planning-and-governance/university-policies-and-procedures/policy-central).
Macquarie University students have a responsibility to be familiar with the Student Code of Conduct: https://students.mq.edu.au/study/getting-started/student-conduct
Results published on platform other than eStudent, (eg. iLearn, Coursera etc.) 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 or if you are a Global MBA student contact globalmba.support@mq.edu.au
Supplementary exams
Information regarding supplementary exams, including dates, is available at: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
If you are a Global MBA student contact globalmba.support@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.
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