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
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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.
Special Consideration Policy (SCP): in cases where the SCP applies, students may be offered an alternative assessment or may receive a mark based on the percentage mark achieved in one or more assessment tasks, at the Unit Convenor discretion.
Name | Weighting | Hurdle | Due |
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Early Diagnostic Assessment | 5% | No | Week 4 |
Class Test | 35% | No | Week 8 |
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 including assessment criteria.
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 8
Weighting: 35%
Submission
The Class Test is scheduled to be held during regular lecture day and time in Week 8 (3rd October 2018 at 4-6pm). Refer to iLearn for further details (test venues and assessment criteria 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 6, 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.
Due: University Examination Period
Weighting: 60%
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.
No reference sheet is allowed. You will be provided a formula sheet attached to the back of your exam paper.
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 |
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