- Class Number 7465
- Term Code 3160
- Class Info
- Unit Value 6 units
- Mode of Delivery In Person
- Yichao Zhu
- Yichao Zhu
- Class Dates
- Class Start Date 26/07/2021
- Class End Date 29/10/2021
- Census Date 14/09/2021
- Last Date to Enrol 02/08/2021
This unit is designed to further students’ understanding of futures and options contracts and their use in managing risk. It builds upon material covered in FINM1001. FINM2002 provides an overview of options, futures, forwards and swaps on a range of underlying assets/commodities including stocks, interest rates, foreign exchange as well as more exotic instruments such as weather and electricity derivatives. The models used for pricing these instruments will be covered as well as techniques used for risk management.
Upon successful completion, students will have the knowledge and skills to:
- Describe options, futures, forwards, and swaps on a range of underlying assets/commodities;
- Explain and be able to utilise option trading strategies;
- Describe the types of assets/commodities used including stocks, interest rates, foreign exchange as well as exotic instruments and weather and electricity derivatives;
- Use various models to price forward, futures, swap and option contracts;
- Use these pricing models for risk management; and,
- Collect, process, interpret and communicate the outcomes of financial problems.
Students undertaking this course will be taught fundamental skills in Finance that will be applied to many real life applications. Students will also be shown how these techniques are applied to research today.
Additional Course Costs
The only additional course costs are a non-programmable scientific calculator (not a financial calculator!)
Examination Material or equipment
Please see the Wattle course site for information on test and examination material. For Tests 1 and 2, this will be released by the end of week 4 and 8, respectively; and for the final exam this will be released no later than week 10.
Formula Sheet, Standard Normal Cumulative Probability Table and Interest Rate Table will be provided in the final exam. You will require reliable assess to Wattle and a calculator for the duration of the online exam.
Hull, J., Treepongkaruna, S., Heaney, R., Pitt, D., and D. Colwell, Fundamentals of futures and options markets, 1st adaption, Pearson Education 2014. (i.e., The textbook readings are optional for this course. In addition, this textbook is available to students as a 2 hour or 2 day loan from ANU library. The text is also available in e-copy via the ANU Library https://library.anu.edu.au/record=b6460173).
Students are required to read pages 125-153 of the CFA Standards of Practice Handbook, Standard IV: Duties to Employers. This content will be discussed in Lecture 11. This document can be found at: https://www.cfainstitute.org/en/ethics/codes/standards-practice-handbook
Students will be given feedback in the following forms in this course:
- ?in tutorials through interactions with tutors and discussions with other students;
- through assessments where tutors will provide specific feedback;
- through consulting teaching staff during their consultation time.
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.
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 or be the same as 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/
If necessary, the lecturers and tutors for this course will contact students on their official ANU student email address. Information about your enrolment and fees from the Registrar and Student Services' office will also be sent to this email address. Students are expected to check the Wattle site for announcements about this course, e.g. changes to timetables or notifications of cancellations. Notifications of emergency cancellations of lectures or tutorials will be posted on the door of the relevant room.
As a further academic integrity control, students may be selected for a 15 minute individual oral examination of their written assessment submissions.
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.
|Week/Session||Summary of Activities||Assessment|
|1||Topic: Course Overview and Extended Analysis of Forwards, Futures and Options Contracts Readings: Lecture Notes 1, Hull et al Ch. 1 & 2|
|2||Topic: Hedging Strategies Using Futures Readings: Lecture Notes 2, Hull et al Ch. 3 & 5||Tutorial 1 Questions|
|3||Topic: Interest Rate Contracts and Swaps Readings: Lecture Notes 3, Hull et al Ch. 4 & 7||Tutorial 2 Questions|
|4||Topic: Options and Options Trading Strategies Readings: Lecture Notes 4, Hull et al Ch. 9, 10 & 11||Tutorial 3 Questions|
|5||Topic: Binomial Model for Pricing Options Readings: Lecture Notes 5, Hull et al Ch. 12||Tutorial 4 Questions Test 1|
|6||Topic: Black-Scholes Model for Pricing Options Readings: Lecture Notes 6, Hull et al Ch. 13||Tutorial 5 Questions|
|7||Topic: Index and Foreign Exchange Options Readings: Lecture Notes 7, Hull et al Ch. 15||Tutorial 6 Questions|
|8||Topic: Options on Futures Contracts Readings: Lecture Notes 8, Hull et al Ch. 16||Tutorial 7 Questions|
|9||Topic: The Greek Letters Readings: Lecture Notes 9, Hull et al Ch. 17||Tutorial 8 Questions Test 2|
|10||Topic: Exotic Options and other Non-standard Products Readings: Lecture Notes 10, Hull et al Ch. 22||Tutorial 9 Questions|
|11||Topic: Credit, Weather, Energy and Insurance Derivatives and Derivatives Mishaps and Ethics in Risk Management Readings: Lecture Notes 11, Hull et al Ch. 23, 24 & 25 CFA Standards of Practice Handbook, Standard IV: Duties to Employers. pgs. 105-126||Tutorial 10 Questions|
|12||Topic: Review Readings: Lecture Notes 12||Tutorial 11 Questions|
Tutorials will start from Week 2 through to Week 12. Tutorials will be available on campus, live through scheduled Zoom sessions and as pre-recorded videos. Information regarding enrolments for these options will be provided on Wattle during O-week of the semester.
|Assessment task||Value||Due Date||Return of assessment||Learning Outcomes|
|Test 1 (Wattle-based)||20 %||27/08/2021||03/09/2021||1-6|
|Test 2 (Wattle-based)||20 %||08/10/2021||21/10/2021||1-6|
|Final Examination||60 %||04/11/2021||02/12/2021||1-6|
* If the Due Date and Return of Assessment date are blank, see the Assessment Tab for specific Assessment Task details
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:
- Student Assessment (Coursework) Policy and Procedure
- Special Assessment Consideration Policy and General Information
- Student Surveys and Evaluations
- Deferred Examinations
- Student Complaint Resolution Policy and Procedure
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 Academic Integrity . In rare cases where online submission using Turnitin software is not technically possible; or where not using Turnitin software has been justified by the Course Convener and approved by the Associate Dean (Education) on the basis of the teaching model being employed; students shall submit assessment online via ‘Wattle’ outside of Turnitin, or failing that in hard copy, or through a combination of submission methods as approved by the Associate Dean (Education). The submission method is detailed below.
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.
Course content delivery will take the form of pre-recorded weekly lectures (available via echo360 on Wattle), pre-recorded weekly workshops (available via echo360 on Wattle) and weekly tutorials delivered in hybrid format (on campus, live through scheduled zoom sessions as pre-recorded videos.
Centrally administered examinations through Examinations, Graduations & Prizes will be timetabled prior to the examination period. Please check ANU Timetabling for further information.
Assessment Task 1
Learning Outcomes: 1-6
Test 1 (Wattle-based)
• Test 1 will be held at 10am (Canberra time) on the Friday of Weeks 5.
• Test 1 will cover content from Week 1 through to 4 inclusive.
• This test will be one and a half hours.
• This test is worth 20% and will be redeemable towards the final exam.
• This test is to be completed individually.
• Specific details of the tests will be provided by the end of Week 4, with all information found on Wattle.
Assessment Task 2
Learning Outcomes: 1-6
Test 2 (Wattle-based)
• Test 2 will be held at 10am (Canberra time) on the Friday of Weeks 9.
• Test 2 will cover content from Week 1 through to 8 inclusive.
• This test will be one and a half hours.
• The test is worth 20% and will be redeemable towards the final exam.
• This test is to be completed individually.
• Specific details of the tests will be provided by the end of Week 8, respectively, with all information found on Wattle.
Assessment Task 3
Learning Outcomes: 1-6
The final examination will be a Wattle-based online exam during the university examination period at the end of semester. The final examination will be 3 hours long and cover the entire syllabus. It will be open book and all materials are permitted. The exam will be centrally timetabled and details of the final examination timetable will be made available on the ANU Timetabling website.
The final examination will be based on all the work covered throughout the duration of the semester. The final examination is worth 60% of the overall course grade, and more if one or both tests' percentage is redeemed. The final examination is to be completed individually. Proctorio will not be used in the final examination. Further information about the examination will be provided in class and on Wattle by week 10.
Academic integrity is a core part of the ANU culture as a community of scholars. At its heart, academic integrity is about behaving ethically, committing to honest and responsible scholarly practice and upholding these values with respect and fairness.
The ANU commits to assisting all members of our community to 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 be familiar with the academic integrity principle and Academic Misconduct Rule, 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 Academic Misconduct Rule is in place to promote academic integrity and manage academic misconduct. Very minor breaches of the academic integrity principle may result in a reduction of marks of up to 10% of the total marks available for the assessment. The ANU offers a number of online and in person services to assist students with their assignments, examinations, and other learning activities. Visit the Academic Skills website for more information about academic integrity, your responsibilities and for assistance with your assignments, writing skills and study.
You will be required to electronically sign a declaration of academic integrity outlined in the "Related Policies" section as part of the submission of your online assessments. Your assessment submissions will be checked for compliance with the university's academic integrity rules.
No hardcopy submission required.
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. Extensions may be granted 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.
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
Asset pricing; Short selling; Fixed income; Financial institutions.