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AFIN7001 – Finance Theory

2021 – Session 1, Special circumstances

Notice

As part of Phase 3 of our return to campus plan, most units will now run tutorials, seminars and other small group activities on campus, and most will keep an online version available to those students unable to return or those who choose to continue their studies online.

To check the availability of face-to-face and online 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.

General Information

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Unit convenor and teaching staff Unit convenor and teaching staff Unit Convenor
Martina Linnenluecke
Unit Convenor
Tom Smith
Credit points Credit points
10
Prerequisites Prerequisites
Permission by special approval
Corequisites Corequisites
Co-badged status Co-badged status
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.

Important Academic Dates

Information about important academic dates including deadlines for withdrawing from units are available at https://students.mq.edu.au/important-dates

Learning Outcomes

On successful completion of this unit, you will be able to:

  • ULO1: Ilustrate and apply modern portfolio theory.
  • ULO2: Examine discrete time asset pricing models, like CAPM, APT, State Preference models and the Lucas model, and explain the economic intuition behind each model.
  • ULO3: Evaluate continuous time models like Black-Scholes Pricing model, Merton model, Breeden model and CIR model.
  • ULO4: Critically appraise and review rational expectations models including Grossman model, Admati model, Kyle model and the extensions.

General Assessment Information

Assessment criteria for all assessment tasks will be provided on the unit iLearn site.

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.

Assessment Tasks

Name Weighting Hurdle Due
Assignment 40% No Assign 1 due 25/04/21 and Assign 2 due 16/05/21
Final Examination 60% No 10/06/21

Assignment

Assessment Type 1: Project
Indicative Time on Task 2: 30 hours
Due: Assign 1 due 25/04/21 and Assign 2 due 16/05/21
Weighting: 40%

 

Student will conduct quantitative and qualitative review and analysis on a topic. The findings will be communicated through a report (2000 to 3000 words) and presentation in class.

 


On successful completion you will be able to:
  • Ilustrate and apply modern portfolio theory.
  • Examine discrete time asset pricing models, like CAPM, APT, State Preference models and the Lucas model, and explain the economic intuition behind each model.
  • Evaluate continuous time models like Black-Scholes Pricing model, Merton model, Breeden model and CIR model.
  • Critically appraise and review rational expectations models including Grossman model, Admati model, Kyle model and the extensions.

Final Examination

Assessment Type 1: Examination
Indicative Time on Task 2: 20 hours
Due: 10/06/21
Weighting: 60%

 

A 3 hour closed book exam will be held at a designated time.

 


On successful completion you will be able to:
  • Ilustrate and apply modern portfolio theory.
  • Examine discrete time asset pricing models, like CAPM, APT, State Preference models and the Lucas model, and explain the economic intuition behind each model.
  • Evaluate continuous time models like Black-Scholes Pricing model, Merton model, Breeden model and CIR model.
  • Critically appraise and review rational expectations models including Grossman model, Admati model, Kyle model and the extensions.

1 If you need help with your assignment, please contact:

  • the academic teaching staff in your unit for guidance in understanding or completing this type of assessment
  • the Learning Skills Unit for academic skills support.

2 Indicative time-on-task is an estimate of the time required for completion of the assessment task and is subject to individual variation

Delivery and Resources

A dropbox link will be shared with students containing relevant information for the course.

Unit Schedule

Topic Date
Module 1 Weekend of  20/21 March
Module 2 Weekend  of  24/25 April
Module 3 Weekend  of 15/16 May
Final Exam Thursday 10 June (2-5pm)

Policies and Procedures

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).

Student Code of Conduct

Macquarie University students have a responsibility to be familiar with the Student Code of Conduct: https://students.mq.edu.au/admin/other-resources/student-conduct

Results

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

Student Support

Macquarie University provides a range of support services for students. For details, visit http://students.mq.edu.au/support/

Learning Skills

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. 

Student Enquiry Service

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

Equity Support

Students with a disability are encouraged to contact the Disability Service who can provide appropriate help with any issues that arise during their studies.

IT Help

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.

Changes since First Published

Date Description
08/02/2021 Unit is co-taught with AFIN8001