- Class Number 2719
- Term Code 2930
- Class Info
- Unit Value 6 units
- Mode of Delivery In Person
- Dr Fei Huang
- Dr Fei Huang
- Class Dates
- Class Start Date 25/02/2019
- Class End Date 31/05/2019
- Census Date 31/03/2019
- Last Date to Enrol 04/03/2019
Continuous Time Finance provides an introduction to the theory and practice of derivative pricing and hedging. The aim of this course is to provide students with the mathematical skills needed for the valuation of derivatives. Focus will be on the application of results rather than their mathematical derivation. These tools will be applied to derive the famous Black-Scholes formula, to price options on currencies, and to interest-rate derivatives.
Upon successful completion, students will have the knowledge and skills to:
- Communicate the basics of stochastic interest rate models and use them to evaluate simple cash flow models.
- Define the arbitrage-free approach to pricing.
- Utilise the mathematical tools required for pricing derivatives in this framework, such as Itô’s formula, martingales, stochastic differential equations, change of measure, and the martingale representation theorem.
The course provides the up-to-date introduction to the derivatives pricing and hedging. The course convener has undertaken research in areas of actuarial sciences and quantitative finance. Lectures in the course will be informed where possible by practical examples.
Examination Material or equipment
Details about the material or equipment that is permitted in an examination room will be provided in class and on Wattle.
All basic course materials will be available on Wattle. Students will be required to print these out themselves if they want a hard copy of them.
- John Hull, Options Futures and Other Derivatives: Global Edition, 8e or 9e.
Students are expected to have access to a copy of the prescribed book for the duration of the semester. The book can be purchased from the on campus bookshop, with a small number of copies also available for 2 hour loan in the reserve loan section of the Chifley Library.
- Shreve, Stochastic Calculus for Finance I: The Binomial Asset Pricing Model
- Baxter and Rennie, Financial Calculus
Students will be given feedback in the following forms in this course:
- Written comments,
- Verbal comments.
ANU is committed to the demonstration of educational excellence and regularly seeks feedback from students. Students are encouraged to offer feedback directly to their Course Convener or through their College and Course representatives (if applicable). The feedback given in these surveys is anonymous and provides the Colleges, University Education Committee and Academic Board with opportunities to recognise excellent teaching, and opportunities for improvement. The Surveys and Evaluation website provides more information on student surveys at ANU and reports on the feedback provided on ANU courses.
Any student identified, either during the current semester or in retrospect, as having used ghost writing services will be investigated under the University’s Academic Misconduct Rule.
Your final mark for the course will be based on the raw marks allocated for each of your assessment items. However, your final mark may not be the same number as produced by that formula, as marks may be scaled. Any scaling applied will preserve the rank order of raw marks (i.e. if your raw mark exceeds that of another student, then your scaled mark will exceed the scaled mark of that student), and may be either up or down.
Support for Students
The University offers a number of support services for students. Information on these is available online from http://students.anu.edu.au/studentlife/
|Week/Session||Summary of Activities||Assessment|
|1||Overview of the course. Revision of Fwd/Futures Pricing & Valuation, basic probability concepts|
|2||Options: Put-Call Parity, Option Price Bounds, Binomial Models.|
|3||Arbitrage-Free and Complete Markets. Risk- Neutral Pricing.|
|4||Brownian Motion. Stochastic Calculus. Geometric Brownian Motion.||Online Quiz 1, Assignment 1 (out)|
|5||Continuous Time Market Theory. The Black- Scholes formula.|
|6||Exotic Options: Binaries, Lookbacks. Matching the Tree.||Assignment 1 (due)|
|7||The Greeks and Hedging Strategies.||Assignment 1 (feedback)|
|8||Intrinsic and Time Values. Implied Volatility. Simulation.||Online Quiz 2, Assignment 2 (out)|
|9||Dividends, Currencies, Futures Options.|
|10||Stochastic Interest Rate Models and Term Structure of Interest Rates.||Assignment 2 (due)|
|11||Interest Rate Derivatives.|
|12||Revision.||Online Quiz 3, Assignment 2 (feedback)|
Tutorial signup for this course will be done via the Wattle website. Detailed information about signup times will be provided on Wattle or during your first lecture. When tutorials are available for enrolment, follow these steps:
1. Log on to Wattle, and go to the course site
2. Click on the link “Tutorial enrolment”
3. On the right of the screen, click on the tab “Become Member of…..” for the tutorial class you wish to enter
4. Confirm your choice
If you need to change your enrolment, you will be able to do so by clicking on the tab “Leave group….” and then re-enrol in another group. You will not be able to enrol in groups that have reached their maximum number. Please note that enrolment in ISIS must be finalised for you to have access to Wattle.
|Assessment task||Value||Due Date||Return of assessment||Learning Outcomes|
|Online Quizzes||10 %||22/03/2019||31/05/2019||1, 2, 3|
|Assignment 1||10 %||05/04/2019||22/04/2019||2, 3|
|Assignment 2||10 %||15/05/2019||23/05/2019||2, 3|
|Final Exam||70 %||06/06/2019||04/07/2019||1, 2, 3|
ANU has educational policies, procedures and guidelines, which are designed to ensure that staff and students are aware of the University’s academic standards, and implement them. Students are expected to have read the Academic Misconduct Rule before the commencement of their course. Other key policies and guidelines include:
The ANU is using Turnitin to enhance student citation and referencing techniques, and to assess assignment submissions as a component of the University's approach to managing Academic Integrity. For additional information regarding Turnitin please visit the ANU Online website. Students may choose not to submit assessment items through Turnitin. In this instance you will be required to submit, alongside the assessment item itself, hard copies of all references included in the assessment item.
Moderation of Assessment
Marks that are allocated during Semester are to be considered provisional until formalised by the College examiners meeting at the end of each Semester. If appropriate, some moderation of marks might be applied prior to final results being released.
The course has a final examination. This is centrally timetabled. Further details relating to the Exam will be provided on Wattle and in class closer to the scheduled date.
Assessment Task 1
Learning Outcomes: 1, 2, 3
Three online quizzes published on Wattle are to be completed in Week 4, Week 8 and Week 12. The due dates are 2019-03-22, 2019-05-03, and 2019-05-31 and will be and will be made avialable one week before this. Two best quizzes will count towards 10% of the final mark (each counts 5%). Students will receive feedback immediately after they submitted their answers. This assessment task is redeemable.
Assessment Task 2
Learning Outcomes: 2, 3
Assignment 1 will count towards 10% of the overall final mark. The assignment questions will be provided to all students at the relevant time on the course Wattle page. Students are expected to complete this assignment individually. Students will need to submit hard copy assignments. This assessment task is redeemable.
Assessment Task 3
Learning Outcomes: 2, 3
Assignment 2 will count towards 10% of the overall final mark. The assignment questions will be provided to all students at the relevant time on the course Wattle page. Students are expected to complete this assignment individually. Students will need to submit hard copy assignments. This assessment task is redeemable.
Assessment Task 4
Learning Outcomes: 1, 2, 3
The final exam will count towards 70% or 80% or 90% or 100% of the overall final mark, depending on the students' performance in the other assessment tasks. Centrally administered examinations through Examinations, Graduations & Prizes will be timetabled prior to the examination period. Please check ANU Timetabling for further information. Further information about the examination will be provided in class and on Wattle closer to the time of the examination.
Academic integrity is a core part of our culture as a community of scholars. At its heart, academic integrity is about behaving ethically. This means that all members of the community commit to honest and responsible scholarly practice and to upholding these values with respect and fairness. The Australian National University commits to embedding the values of academic integrity in our teaching and learning. We ensure that all members of our community understand how to engage in academic work in ways that are consistent with, and actively support academic integrity. The ANU expects staff and students to uphold high standards of academic integrity and act ethically and honestly, to ensure the quality and value of the qualification that you will graduate with. The University has policies and procedures in place to promote academic integrity and manage academic misconduct. Visit the following Academic honesty & plagiarism website for more information about academic integrity and what the ANU considers academic misconduct. The ANU offers a number of services to assist students with their assignments, examinations, and other learning activities. The Academic Skills and Learning Centre offers a number of workshops and seminars that you may find useful for your studies.
Students should submit their hard copy assignments to the physical assignment box on Level 4, CBE Building 26C. Assignments must include the cover sheet available on Wattle. Please keep a copy of tasks completed for your records.
No submission of assessment tasks without an extension after the due date will be permitted. If an assessment task is not submitted by the due date, a mark of 0 will be awarded.
Accepted academic practice for referencing sources that you use in presentations can be found via the links on the Wattle site, under the file named “ANU and College Policies, Program Information, Student Support Services and Assessment”. Alternatively, you can seek help through the Students Learning Development website.
Extensions and Penalties
Extensions and late submission of assessment pieces are covered by the Student Assessment (Coursework) Policy and Procedure. The Course Convener may grant extensions for assessment pieces that are not examinations or take-home examinations. If you need an extension, you must request an extension in writing on or before the due date. If you have documented and appropriate medical evidence that demonstrates you were not able to request an extension on or before the due date, you may be able to request it after the due date.
Resubmission of Assignments
Is not permitted.
Distribution of grades policy
Academic Quality Assurance Committee monitors the performance of students, including attrition, further study and employment rates and grade distribution, and College reports on quality assurance processes for assessment activities, including alignment with national and international disciplinary and interdisciplinary standards, as well as qualification type learning outcomes.
Since first semester 1994, ANU uses a grading scale for all courses. This grading scale is used by all academic areas of the University.
Support for students
The University offers students support through several different services. You may contact the services listed below directly or seek advice from your Course Convener, Student Administrators, or your College and Course representatives (if applicable).
- ANU Health, safety & wellbeing for medical services, counselling, mental health and spiritual support
- ANU Diversity and inclusion for students with a disability or ongoing or chronic illness
- ANU Dean of Students for confidential, impartial advice and help to resolve problems between students and the academic or administrative areas of the University
- ANU Academic Skills and Learning Centre supports you make your own decisions about how you learn and manage your workload.
- ANU Counselling Centre promotes, supports and enhances mental health and wellbeing within the University student community.
- ANUSA supports and represents undergraduate and ANU College students
- PARSA supports and represents postgraduate and research students
Actuarial Studies, Applied Statistics, Quantitative Finance
Dr Fei Huang