- Class Number 4433
- Term Code 3130
- Class Info
- Unit Value 6 units
- Mode of Delivery In Person
- Prof Ross Maller
- Prof Ross Maller
- Class Dates
- Class Start Date 22/02/2021
- Class End Date 28/05/2021
- Census Date 31/03/2021
- Last Date to Enrol 01/03/2021
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 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 Ito’s formula, martingales, stochastic differential equations, change of measure, and the martingale representation theorem.
Options, Futures and Other Derivatives, Global Edition, 9th Edition By John C. Hull
Ebook is available via the link here .
Students will be given feedback in the following forms in this course:
- written comments
- verbal comments
- feedback to whole class, groups, individuals, focus group etc
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.
|Week/Session||Summary of Activities||Assessment|
|1||Revision: Fwd/Futures Pricing & Valuation, Fwd Int. Rates|
|2||Pricing of Bills and Bonds and Futures on them.|
|3||Options: Put-Call Parity, Option Price Bounds, Binomial Models||Assignment 1 (out)|
|4||Arbitrage-Free and Complete Markets. Risk-Neutral Pricing||Online Quiz 1|
|5||Brownian Motion. Stochastic Calculus. Geometric Brownian Motion|
|6||Continuous Time Market Theory. The Black-Scholes formula||Assignment 1 (due)|
|7||Exotic Options: Binaries, Lookbacks. Matching the tree.|
|8||The Greeks and Hedging Strategies||Assignment 2 (out)|
|9||Intrinsic and Time Values. Implied Volatility. Simulation|
|10||Dividends, Currencies, Futures Options||Assignment 2 (due)|
|11||Interest Rate Derivatives (Standard)||Online Quiz 2|
|12||Interest Rate Derivatives (Models of the Short Rate)|
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, prior to the start of the semester.
|Assessment task||Value||Due Date||Return of assessment|
|Online Quiz 1 (5%)||5 %||17/03/2021||17/03/2021|
|Assignment 1 (10%)||10 %||29/03/2021||16/04/2021|
|Assignment 2 (10%)||10 %||14/05/2021||24/05/2021|
|Online Quiz 2 (5%)||5 %||17/05/2021||17/05/2021|
|Final Exam (70%)||70 %||03/06/2021||01/07/2021|
* 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:
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), online live weekly workshops and weekly tutorials delivered in hybrid format (on campus, live through scheduled Zoom sessions and as pre-recorded videos).
Centrally scheduled examinations through Examinations, Graduations & Prizes will be timetabled prior to the examination period. Please check ANU timetabling for further information.
Assessment Task 1
Online Quiz 1 (5%)
Topics covered: weeks 1-3
Submission: via Wattle
Quiz will be question-based. You must show all workings for short answer questions. The marking criteria will be based on model solutions and answers prepared by the lecturer. No make-up or late submission accepted. Please check Wattle in Week 3 for further details.
Assessment Task 2
Assignment 1 (10%)
Topics covered: weeks 1-4.
Submission: via Wattle in pdf format
Students will be given questions concerning material to date. Answers should show the analytical work and be submitted via Wattle. Further details will be provided by end of Week 4 via Wattle.
Assessment Task 3
Assignment 2 (10%)
Topics covered: weeks 5-9.
Submission: via Wattle in pdf format
Students will be given questions concerning material to date. Answers should show the analytical work and be submitted via Wattle. Further details will be provided by end of Week 8 via Wattle.
Assessment Task 4
Online Quiz 2 (5%)
Topics covered: weeks 1-11
Submission: via Wattle
Quiz will be question-based. You must show all workings for short answer questions The marking criteria will be based on model solutions and answers prepared by the lecturer. No make-up or late submission accepted. Please check Wattle in Week 10 for further details.
Assessment Task 5
Final Exam (70%)
Final exam will cover all content in this course.
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.
Assignments in this course must be submitted via wattle in pdf format. You will be required to electronically sign a declaration as part of the submission of your assignment. Please keep a copy of the assignment for your records. Unless an exemption has been approved by the Associate Dean (Education) submission must be through Turnitin.
There is no hardcopy submission in the course.
Individual assessment tasks may or may not allow for late submission. Policy regarding late submission is detailed below:
- Late submission not permitted. If submission of assessment tasks without an extension after the due date is not permitted, a mark of 0 will be awarded.
- Late submission permitted. Late submission of assessment tasks without an extension are penalised at the rate of 5% of the possible marks available per working day or part thereof. Late submission of assessment tasks is not accepted after 10 working days after the due date, or on or after the date specified in the course outline for the return of the assessment item. Late submission is not accepted for take-home examinations.
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
Current research interests include Probability, Statistics, Insurance and Quantitative Finance, Quantitative Criminology (Recidivism Studies).
Prof Ross Maller