Coronavirus (COVID-19) Update
Due to the Coronavirus (COVID-19) pandemic, any references to assessment tasks and on-campus delivery may no longer be up-to-date on this page.
Students should consult iLearn for revised unit information.
Find out more about the Coronavirus (COVID-19) and potential impacts on staff and students
Unit convenor and teaching staff |
Unit convenor and teaching staff
Unit Convenor
Lei Shi
Angela Chow
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Credit points |
Credit points
10
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Prerequisites |
Prerequisites
(Admission to MActPrac or MFin) or (ACST603 or ACST6003 or AFIN858)
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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 examines current techniques for measuring and managing the financial risk faced by corporate and financial institutions, with an emphasis on the practical use of derivative financial products such as forwards, futures, swaps and options to manage risk.
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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:
Coronavirus (COVID-19) Update
Assessment details are no longer provided here as a result of changes due to the Coronavirus (COVID-19) pandemic.
Students should consult iLearn for revised unit information.
Find out more about the Coronavirus (COVID-19) and potential impacts on staff and students
It is the responsibility of students to view their marks for each within-session-assessment on iLearn within 20 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.
Late submissions and extensions
Tasks 10% or less – 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 for cases in which an application for special consideration is made and approved.
Tasks above 10% - 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.
Final Examination
You are permitted ONE A4 page containing reference material printed on both sides. The material may be handwritten or typed. The page will not be returned to you at the end of the final examination.
All other assessment criteria for all assessment tasks will be provided on the unit iLearn site.
Coronavirus (COVID-19) Update
Any references to on-campus delivery below may no longer be relevant due to COVID-19.
Please check here for updated delivery information: https://ask.mq.edu.au/account/pub/display/unit_status
Recommended Text: | 'Option, Futures, and Other Derivatives' (Global Edition) by John C. Hull, 10th Edition, Pearson. |
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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 semester. |
Technology Used and Required: |
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Delivery Format and other Details: |
Classes Classes comprise a weekly, three-hour seminar, typically structured as a two-hour lecture pus one hour for exercise questions. Students should attend all classes, both for learning and assessment purposes. The timetable for classes can be found on the University website at: http://timetables.mq.edu.au/2020/ |
Recommended Readings: | Additional references may be added during the semester. Details of these will be provided at the unit web page. |
Coronavirus (COVID-19) Update
The unit schedule/topics and any references to on-campus delivery below may no longer be relevant due to COVID-19. Please consult iLearn for latest details, and check here for updated delivery information: https://ask.mq.edu.au/account/pub/display/unit_status
Week | Textbook Chapters | Topic |
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1 | 1,2,3 | Introduction to futures, options and hedging strategies |
2 | 5 | Forwards and futures pricing and hedging |
3 | 7 | Swaps pricing and construction |
4 | 13 | Options pricing using binomial trees |
5 | 15 | Options pricing using the Black-Scholes-Merton model |
6 | 19,20 | Greek letters and volatility smiles |
7 | 22 | Value at risk |
Mid-semester break | ||
8 | Class test | |
9 | 23 | Volatilities, correlations, and dependence |
10 | 24 | Credit risk |
11 | 34 | Energy and commodity derivatives |
12 | 36 | Ethical issues in risk management |
13 | Revision |
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:
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
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Supplementary exams
Information regarding supplementary exams, including dates, is available at: http://www.businessandeconomics.mq.edu.au/current_students/undergraduate/how_do_i/disruption_to_studies
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 help you improve your marks and take control of your study.
The Library provides online and face to face support to help you find and use relevant information resources.
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.
Date | Description |
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08/02/2020 | Changes to order of assessments |