Unit convenor and teaching staff |
Unit convenor and teaching staff
Unit Convenor
Kai Li
Yin Liao
|
---|---|
Credit points |
Credit points
10
|
Prerequisites |
Prerequisites
50cp at 1000 level or above including (AFIN100 or AFIN102 or AFIN1002 or ACST152 or ACST1052) and (STAT150 or STAT1250 or STAT170 or STAT1170 or STAT171 or STAT1171)
|
Corequisites |
Corequisites
|
Co-badged status |
Co-badged status
|
Unit description |
Unit description
Quantitative modelling and analysis are significant components in the discipline of applied finance. The models employed by practitioners and researchers are based on assumptions about the stochastic properties of financial variables and time series. This unit covers a variety of stochastic models for use in applied finance and includes extensive use of Excel spreadsheets. The topics include discrete and continuous probability distributions, extreme events, joint probability distributions, copulas, bayesian analysis, regression models, time series models, and risk-neutral pricing. |
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:
Late submissions of assessments
Unless a Special Consideration request has been submitted and approved, no extensions will be granted. There will be a deduction of 10% of the total available assessment-task marks made from the total awarded mark for each 24-hour period or part thereof that the submission is late. Late submissions will only be accepted up to 96 hours after the due date and time.
No late submissions will be accepted for timed assessments – e.g., quizzes, online tests.
Table 1: Penalty calculation based on submission time
Submission time after the due date (including weekends) |
Penalty (% of available assessment task mark) |
Example: for a non-timed assessment task marked out of 30 |
< 24 hours |
10% |
10% x 30 marks = 3-mark deduction |
24-48 hours |
20% |
20% x 30 marks = 6-mark deduction |
48-72 hours |
30% |
30% x 30 marks = 9-mark deduction |
72-96 hours |
40% |
40% x 30 marks = 12-mark deduction |
> 96 hours |
100% |
Assignment won't be accepted |
Other assessment criteria for assessment tasks will be provided on the unit iLearn site.
Name | Weighting | Hurdle | Due |
---|---|---|---|
Online Quiz | 5% | No | Week 3 |
Mid Session Test | 20% | No | Week 8 |
Assignment | 15% | No | Week 10 |
Final Examination | 60% | No | Final exam period |
Assessment Type 1: Quiz/Test
Indicative Time on Task 2: 1 hours
Due: Week 3
Weighting: 5%
The online quiz will be conducted through iLearn and consist of multiple choice questions, and calculation based questions, where a numerical value will need to be entered.
Assessment Type 1: Quiz/Test
Indicative Time on Task 2: 12 hours
Due: Week 8
Weighting: 20%
A practical test of 60 minutes will be held to give students practice on a summative task and to provide feedback on their progress midway through the session.
Assessment Type 1: Quantitative analysis task
Indicative Time on Task 2: 10 hours
Due: Week 10
Weighting: 15%
The assignment will cover quantitative analysis of the materials taught in the class.
Assessment Type 1: Examination
Indicative Time on Task 2: 20 hours
Due: Final exam period
Weighting: 60%
A two hour exam will be held during the University Examination Period.
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
Recommended reading materials: Probability and statistics for finance, by ST Rachev, M Hoechstoetter, FJ Fabozzi, SM Focardi, 2010.
Regarding class delivery, please see iLearn for details.
Week |
Topic |
1 |
Measures of location and spread |
2 |
Discrete probability distributions |
3 |
Basic option pricing techniques |
4 |
Continuous probability distributions |
5 |
Modeling extreme events |
6 |
Joint probability distributions |
7 |
Copulas and dependence measures |
8 |
Mid-term test |
9 |
Regression models |
10 |
Time series models |
11 |
No-arbitrage pricing |
12 |
Business ethics |
13 |
Revision |
Macquarie University policies and procedures are accessible from Policy Central (https://policies.mq.edu.au). Students should be aware of the following policies in particular with regard to Learning and Teaching:
Students seeking more policy resources can visit Student Policies (https://students.mq.edu.au/support/study/policies). It is your one-stop-shop for the key policies you need to know about throughout your undergraduate student journey.
To find other policies relating to Teaching and Learning, visit Policy Central (https://policies.mq.edu.au) and use the search tool.
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 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
At Macquarie, we believe academic integrity – honesty, respect, trust, responsibility, fairness and courage – is at the core of learning, teaching and research. We recognise that meeting the expectations required to complete your assessments can be challenging. So, we offer you a range of resources and services to help you reach your potential, including free online writing and maths support, academic skills development and wellbeing consultations.
Macquarie University provides a range of support services for students. For details, visit http://students.mq.edu.au/support/
The Writing Centre provides resources to develop your English language proficiency, academic writing, and communication skills.
The Library provides online and face to face support to help you find and use relevant information resources.
Macquarie University offers a range of Student Support Services including:
Got a question? Ask us via AskMQ, or contact Service Connect.
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.
Unit information based on version 2022.03 of the Handbook