CORPFIN 7023 - Financial Modelling Techniques (M)
North Terrace Campus - Semester 2 - 2020
General Course Information
Course Code CORPFIN 7023 Course Financial Modelling Techniques (M) Coordinating Unit Business School Term Semester 2 Level Postgraduate Coursework Location/s North Terrace Campus Units 3 Contact Up to 3 hours per week Available for Study Abroad and Exchange Y Prerequisites CORPFIN 7005, CORPFIN 7033/COMMERCE 7033 Course Description This course develops discrete binomial models for valuing financial derivative products with a variety of underlying assets, including stock and foreign currency. The Ho-Lee model, which predicts future interest rates, is introduced and incorporated into the derivative pricing model. Methods are discussed for minimising financial risk when trading derivative products, such as hedging and the margin of a futures contract. When applying the modelling, solution methods rely on efficient and practical spreadsheet skills. This course emphasises practical modelling and real world applications by developing and solving models which are commonly applied in the financial industry.
Course Coordinator: Professor Joshua Ross
The full timetable of all activities for this course can be accessed from Course Planner.
Course Learning OutcomesOn successful completion of this course students will be able to:
1. demonstrate an understanding of basic financial market concepts
2. construct binomial tree models
3. price a wide variety of contingent claims using principles of non-arbitrage
University Graduate Attributes
This course will provide students with an opportunity to develop the Graduate Attribute(s) specified below:
University Graduate Attribute Course Learning Outcome(s) Deep discipline knowledge
- informed and infused by cutting edge research, scaffolded throughout their program of studies
- acquired from personal interaction with research active educators, from year 1
- accredited or validated against national or international standards (for relevant programs)
1,2,3 Critical thinking and problem solving
- steeped in research methods and rigor
- based on empirical evidence and the scientific approach to knowledge development
- demonstrated through appropriate and relevant assessment
1,2,3 Teamwork and communication skills
- developed from, with, and via the SGDE
- honed through assessment and practice throughout the program of studies
- encouraged and valued in all aspects of learning
2,3 Career and leadership readiness
- technology savvy
- professional and, where relevant, fully accredited
- forward thinking and well informed
- tested and validated by work based experiences
Recommended Resources1. Binomial Models in Finance by J Van Der Hoek and R Elliot, Cambridge
2. Elementary Calculus of Financial Mathematics by Roberts, Cambridge
3. Options, Futures, and Other Derivatives 7th ed. by Hull, Pearson
Online LearningThis course uses MyUni exclusively for providing electronic resources, such as notes, videos, quizzes, assignments and solutions et cetera.
Learning & Teaching Activities
Learning & Teaching ModesEach week, lecture notes will be provided, designed to be read in advance of viewing videos. Videos will consist of the lecturer explaining key material and examples from the lecture notes. Tutorials supplement this, providing exercises to enhance learning and confirm understanding including interaction with the lecturer and/or tutor. Four written assignments, two online quizzes and two in-tute tests during semester provide the assessment opportunities for students to gauge and demonstrate their progress and understanding. Regular consulting sessions can be used to interact with the lecturer and/or tutor for additional tution.
The information below is provided as a guide to assist students in engaging appropriately with the course requirements.
Activity Quantity Workload Hours Weekly online materials
Learning Activities SummaryTopics
1. Call options - European and American
2. Trading options
3. Put options
5. Binomial assett pricing model
6. Price derivatives using risk neutral probabilities
7. Cox-Ross-Rubinstein (CRR) model
8 Arrow-Debreu securities and state prices
9. Black Scholes model
11. Variable interest rates
12. Valuing American options
13. Barrier options
14. Forward contracts
15. Interest rate derivatives
17. Ho-Lee model
18. Futures markets
19. Managing risk
21. Sensitivity of options
1. Call options and the CRR model
2. Multi-step models and Arrow-Debreu securities
3. Valuing American options
The University's policy on Assessment for Coursework Programs is based on the following four principles:
- Assessment must encourage and reinforce learning.
- Assessment must enable robust and fair judgements about student performance.
- Assessment practices must be fair and equitable to students and give them the opportunity to demonstrate what they have learned.
- Assessment must maintain academic standards.
Assessment Task Weighting Learning Outcome Assignments 24% all Online quizzes 16% all In-tute tests 30% all Exam 30% all
Assessment Related RequirementsAn aggregate score of at least 50% is required to pass the course.
Assessment Task Distributed Due Date Weighting Assignment 1
Online quiz 1
In-tute test 1
Online quiz 2
In-tute test 2
SubmissionAssignments are to be submitted online via MyUni. Late assignments will not be accepted.
Grades for your performance in this course will be awarded in accordance with the following scheme:
M10 (Coursework Mark Scheme) Grade Mark Description FNS Fail No Submission F 1-49 Fail P 50-64 Pass C 65-74 Credit D 75-84 Distinction HD 85-100 High Distinction CN Continuing NFE No Formal Examination RP Result Pending
Further details of the grades/results can be obtained from Examinations.
Grade Descriptors are available which provide a general guide to the standard of work that is expected at each grade level. More information at Assessment for Coursework Programs.
Final results for this course will be made available through Access Adelaide.
The University places a high priority on approaches to learning and teaching that enhance the student experience. Feedback is sought from students in a variety of ways including on-going engagement with staff, the use of online discussion boards and the use of Student Experience of Learning and Teaching (SELT) surveys as well as GOS surveys and Program reviews.
SELTs are an important source of information to inform individual teaching practice, decisions about teaching duties, and course and program curriculum design. They enable the University to assess how effectively its learning environments and teaching practices facilitate student engagement and learning outcomes. Under the current SELT Policy (http://www.adelaide.edu.au/policies/101/) course SELTs are mandated and must be conducted at the conclusion of each term/semester/trimester for every course offering. Feedback on issues raised through course SELT surveys is made available to enrolled students through various resources (e.g. MyUni). In addition aggregated course SELT data is available.
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