Notice
As part of Phase 3 of our return to campus plan, most units will now run tutorials, seminars and other small group learning activities on campus for the second half-year, while keeping an online version available for those students unable to return or those who choose to continue their studies online.
To check the availability of face to face activities for your unit, please go to timetable viewer. To check detailed information on unit assessments visit your unit's iLearn space or consult your unit convenor.
Unit convenor and teaching staff |
Unit convenor and teaching staff
Convenor and Lecturer
Chong It Tan
4ER 738
Refer to iLearn
Angela Chow
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Credit points |
Credit points
10
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Prerequisites |
Prerequisites
ACST306 or ACST3006
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Corequisites |
Corequisites
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Co-badged status |
Co-badged status
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Unit description |
Unit description
The topics covered in this unit include: an introduction to stochastic processes; martingales; an introduction to stochastic calculus; Ito's lemma; forwards, futures, swaps and options; arbitrage-free pricing via replicating portfolio and risk neutral probability measures; the Girsanov theorem; the Black-Scholes option pricing model for European and exotic options; the 'Greeks' and dynamic hedging; term structure of interest rates; relations among short rates, forward rates and zero-coupon bonds; interest rate models; firm-value; and intensity-based credit risk models. Students gaining a Credit average in both ACST3006 and ACST3007 (minimum mark of 60) will satisfy the requirements for exemption from professional subject CT8 of the Actuaries Institute. |
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.
In the cases where a special consideration application is approved, the student may be offered an alternative assessment or may receive a mark based on the percentage mark achieved by the student in one or more other assessment tasks, at the unit convenor’s discretion.
Name | Weighting | Hurdle | Due |
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Final Exam | 60% | No | University Examination Period |
Class Test | 20% | No | 20 October 2pm |
Assignment | 20% | No | 6 October 2pm |
Assessment Type 1: Examination
Indicative Time on Task 2: 28 hours
Due: University Examination Period
Weighting: 60%
The final examination will be a three-hour written exam with ten minutes reading time, to be held during the University Examination period.
Assessment Type 1: Quiz/Test
Indicative Time on Task 2: 13 hours
Due: 20 October 2pm
Weighting: 20%
The test will be approximately 120 minutes, to be held during class time.
Assessment Type 1: Quantitative analysis task
Indicative Time on Task 2: 20 hours
Due: 6 October 2pm
Weighting: 20%
This is an individual assignment which focuses on problem solving using Excel or R.
1 If you need help with your assignment, please contact:
2 Indicative time-on-task is an estimate of the time required for completion of the assessment task and is subject to individual variation
Classes
It is intended that learning in this session will be a combination of pre-recorded online lecture and on-campus tutorials. Tutorials will commence in week 2. The on-campus tutorial will be recorded and made available to students who are unable to attend.
Required and Recommended Texts and/or Materials
Required texts
Detailed lecture notes and tutorial exercises are available on the unit's iLearn site.
Recommended Textbooks
•Options, Futures and Other Derivatives (9th edition); John Hull
•An Introduction to the Mathematics of Financial Derivatives (2nd edition); Salih N. Neftci
•Interest Rate Models: An Introduction; Andrew J. G. Cairns
Each copy of these books is available in the Reserve section of the Library and can be purchased from the Macquarie University Co-op bookshops.
Technology Used and Required
Students need to be able to use a computer softwares (such as Excel, R) to analyse financial problems. Although the unit does not aim to teach students how to use these softwares, you are encouraged to make use of spreadsheets and other software packages for the assignment.
Unit Webpage
The webpage for this unit can be accessed via the iLearn site at: http://ilearn.mq.edu.au
Teaching and Learning Strategy
The unit is taught using two-hour lecture and one-hour tutorial each week. You are expected to read lecture materials in advance of the lectures. The tutorial is an opportunity for you to attempt questions for each section of work, or to ask questions. It is highly recommended to try to solve questions in advance of the tutorials.
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
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
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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19/07/2020 | Fix up spelling mistake |