Students

AFIN7001 – Finance Theory

2024 – Session 1, Online-scheduled-In person assessment, North Ryde

General Information

Download as PDF
Unit convenor and teaching staff Unit convenor and teaching staff
Tom Smith
tom.smith@mq.edu.au
Credit points Credit points
10
Prerequisites Prerequisites
Permission by special approval
Corequisites Corequisites
Co-badged status Co-badged status
AFIN8001
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://www.mq.edu.au/study/calendar-of-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.

Assessment Tasks

Name Weighting Hurdle Due
Final Examination 60% No June 13th
Assignment 40% No 6th April , 4th May

Final Examination

Assessment Type 1: Examination
Indicative Time on Task 2: 20 hours
Due: June 13th
Weighting: 60%

 

A 3 hour 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.

Assignment

Assessment Type 1: Project
Indicative Time on Task 2: 30 hours
Due: 6th April , 4th May
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.

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 Writing Centre 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

There are no required texts for this course.  The following books are useful references:

  • Huang and Litzenberger, 1988 Foundations for Financial Economics, North-Holland (Elsevier Science Publishing, New York).
  • Ingersoll, 1987 Theory of Financial Decision Making, Rowan and Littlefield (Totowa, NJ).
  • Cochrane, 2005 Asset Pricing Revised Edition, Princeton University Press.
  • O'Hara, 1995 Market Microstructure Theory, Blackwell Publishers, Cambridge Mass.

Policies and Procedures

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.

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 connect.mq.edu.au or if you are a Global MBA student contact globalmba.support@mq.edu.au

Academic Integrity

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.

Student Support

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

The Writing Centre

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. 

Student Services and Support

Macquarie University offers a range of Student Support Services including:

Student Enquiries

Got a question? Ask us via the Service Connect Portal, or contact Service Connect.

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.

Unit information based on version 2024.01R of the Handbook