Unit convenor and teaching staff |
Unit convenor and teaching staff
Unit Convenor
Ryle Perera
Contact via ryle.perera@mq.edu.au
E4A 229
Refer to iLearn
Administration
Kenneth Wong
Contact via Refer to iLearn
Refer to iLearn
Refer to iLearn
Tutor
Charles Magri
Contact via Refer to iLearn
Refer to iLearn
Refer to iLearn
Tutor
Martin Gurny
Contact via Refer to iLearn
Refer to iLearn
Refer to iLearn
Angela Chow
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Credit points |
Credit points
3
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Prerequisites |
Prerequisites
6cp at 200 level including (AFIN252 or AFIN270 or STAT272)
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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 explores the characteristics and pricing of derivatives. The importance of the principles of hedging and arbitrage in derivative pricing, is considered. Derivatives investigated include forwards, futures, options and various structured products. In particular, the unit covers non-standard securities and numerical methods.
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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:
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 tasks (not including the final exam mark) will not be addressed.
Assessment criteria for all assessment tasks will be provided on the unit iLearn site.
Name | Weighting | Hurdle | Due |
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Early Diagnostic Assessment | 5% | No | Week 4 |
Class Test | 35% | No | Week 7 |
Final Examination | 60% | No | University Examination Period |
Due: Week 4
Weighting: 5%
Submission
The Early Diagnostic Assessment is an online multiple choice quiz that will be held in Week 4. Refer to iLearn for for further details closer to the date.
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 disruptions to studies is made and approved.
Please use the quiz as an indicator of whether you are progressing satisfactorily in the unit. If you are having difficulties, please see the Unit Convenor and consider withdrawing before the submission date in Week 4.
Due: Week 7
Weighting: 35%
Submission
The Class Test is scheduled to be held during regular lecture day and time in Week 7. Refer to iLearn for further details (test venues will be posted closer to the class test date).
Total time available for the class test is 90 minutes. The class test is based on topics covered during lectures 1 to 5, inclusive. No dictionaries of any kind are allowed in the class test. Non-programmable calculators are allowed, provided that they are not capable of storing text.
During the exam you will be provided with a formula sheet (attached to the back of your exam paper). It will contain useful formulas that have been encountered during the course, however it the student's responsibility to identify the correct formula to be used for any particular question within the paper.
Penalties
No extensions will be granted. Students who have not sat the exam will be awarded a mark of 0 for the task, except for cases in which an application for disruption of studies is made and approved. The University recognizes that students may experience disruptions that adversely affect their academic performance in assessment activities. In case of an unavoidable and unexpected event or illness, an application for disruption to studies can be lodged. Where a Disruption to Studies application is approved, the student may be offered an alternative assessment (supplementary exam to be held after the formal exam) at the Unit Convenor's discretion.
More information regarding disruption to studies is available here:
http://students.mq.edu.au/student_admin/exams/disruption_to_studies/
Supplementary exams
Information regarding supplementary exams, including dates, is available at:
Due: University Examination Period
Weighting: 60%
Examination conditions
The final exam is based on topics covered during lecture weeks 1 to 13, inclusive. Total time available for the final examination is 2 hours plus 10 minutes reading time. No dictionaries of any kind are allowed in the final examination. Non–programmable calculators are allowed, provided that they are not capable of storing text.
You may NOT be permitted to bring in a cheat sheet, however, during the exam you will be provided with a formula sheet (attached to the back of your exam paper). It will contain useful formulas that have been encountered, during the course, however it the student's responsibility to identify the correct formula to be used for any particular question within the paper.
The University Examination period commences on 13 November 2017. You are expected to present yourself for examination at the time and place designated in the University Examination Timetable. The timetable will be available in draft form approximately eight weeks before the commencement of the examinations and in Final form approximately four weeks before the commencement of the examinations. http://www.timetables.mq.edu.au/exam
The University recognises that students may experience disruptions that adversely affect their academic performance in assessment activities. In case of an unavoidable and unexpected event or illness, an application for disruption to studies can be lodged. Where a Disruption to Studies application is approved, the student may be offered an alternative assessment at the Unit Convenor’s discretion. The Disruption to Studies Policy applies only to serious and unavoidable disruptions that arise after a study period has commenced. If your application is approved, a supplementary exam will be held after the formal exam.
More information regarding disruption to studies is available here:
http://students.mq.edu.au/student_admin/exams/disruption_to_studies/
Supplementary exams
Information regarding supplementary exams, including dates, is available at:
Delivery and Resources
Prizes for this unit (see).
http://www.buisnessandeconomics.mq.edu.au/undergraduate_degrees/prizes_scholarships
Lecture Week |
Lecture Topic |
1 |
Introduction to Derivatives and Mechanics of Futures Market |
2 |
Hedging Strategies using Futures |
3 |
Interest rates |
4 |
Determination of Forward and Futures Prices |
5 |
Swaps and Ethics |
6 |
Mechanics of Option Markets and Properties of Stock Options |
7 |
CLASS TEST |
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BREAK |
8 |
Trading Strategies Involving Options |
9 |
Introduction to Binomial Trees |
10 |
Valuing Stock Options: The Black Scholes Model |
11 |
Options on Stock Indices and Currencies and Futures Options |
12 |
Greek Letters |
13 |
Revision |
Macquarie University policies and procedures are accessible from Policy Central. Students should be aware of the following policies in particular with regard to Learning and Teaching:
Academic Honesty Policy http://mq.edu.au/policy/docs/academic_honesty/policy.html
Assessment Policy http://mq.edu.au/policy/docs/assessment/policy_2016.html
Grade Appeal Policy http://mq.edu.au/policy/docs/gradeappeal/policy.html
Complaint Management Procedure for Students and Members of the Public http://www.mq.edu.au/policy/docs/complaint_management/procedure.html
Disruption to Studies Policy (in effect until Dec 4th, 2017): http://www.mq.edu.au/policy/docs/disruption_studies/policy.html
Special Consideration Policy (in effect from Dec 4th, 2017): https://staff.mq.edu.au/work/strategy-planning-and-governance/university-policies-and-procedures/policies/special-consideration
In addition, a number of other policies can be found in the Learning and Teaching Category of Policy Central.
Macquarie University students have a responsibility to be familiar with the Student Code of Conduct: https://students.mq.edu.au/support/student_conduct/
Results shown in iLearn, 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.
Information regarding supplementary exams, including dates, is available at
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Learning Skills (mq.edu.au/learningskills) provides academic writing resources and study strategies to improve your marks and take control of your study.
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This graduate capability is supported by:
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Date | Description |
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25/07/2017 | Updated class test wording. |