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 FINM7006 and STAT7055. FINM6041 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. The models used for pricing these instruments will be examined as well as techniques used for risk management.

Learning Outcomes

Upon successful completion, students will have the knowledge and skills to:

1. Explain in detail how options, futures, forwards, and swaps can be used on a range of underlying assets/commodities.
2. Demonstrate the appropriate use of option trading strategies.
3. Demonstrate the use of derivatives for a range of assets/commodities including stocks, interest rates, foreign exchange as well as exotic instruments and weather and electricity derivatives.
4. Explain in detail and be able to demonstrate various models to price forward, futures, swap and option contracts.
5. Use these pricing models for risk management.
6. Collect, process, interpret and communicate the outcomes of complex financial problems.

Research-Led Teaching

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

The final exams will be centrally timetabled by Examinations, Graduations & Prizes prior to the examination period. Please check ANU Timetabling for further information. The only permitted materials in the examination are a calculator (scientific, non-programmable and not a financial calculator), dictionary (which will be checked at the examination), pen and ruler.

Recommended Resources

Recommended textbook:

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://ebookcentral.proquest.com/lib/anu/detail.action?docID=5220612).

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

Staff Feedback

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.

Student Feedback

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). Feedback can also be provided to Course Conveners and teachers via the Student Experience of Learning & Teaching (SELT) feedback program. SELT surveys are confidential and also provide the Colleges and ANU Executive with opportunities to recognise excellent teaching, and opportunities for improvement.

Other Information

Communication

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.

Announcements

Students are expected to check the Wattle site for announcements about this course, e.g. changes to timetables or noti?cations of cancellations.

Assessment Requirements

Any student identi?ed, either during the current semester or in retrospect, as having used ghost writing services or committed any academic misconduct will be investigated under the University’s Academic Misconduct Rule.

Referencing Requirements

In assignments and exams, students must appropriately reference any results, words or ideas that they take from another source which is not their own.

Class Schedule

Week/Session	Summary of Activities	Assessment
1	Topic: Course Overview and Extended Analysis of Forwards, Futures and Options ContractsReadings: Lecture Notes 1, Hull et al Ch. 1 & 2
2	Topic: Hedging Strategies Using FuturesReadings: Lecture Notes 2, Hull et al Ch. 3 & 5	Tutorial 1 Questions
3	Topic: Interest Rate Contracts and SwapsReadings: Lecture Notes 3, Hull et al Ch. 4 & 7	Tutorial 2 QuestionsQuiz 1 (In tutorial; Week 2 material)Assignment team formation (Friday; Sign up via Wattle)
4	Topic: Options and Options Trading StrategiesReadings: Lecture Notes 4, Hull et al Ch. 9, 10 & 11	Tutorial 3 Questions
5	Topic: Binomial Model for Pricing OptionsReadings: Lecture Notes 5, Hull et al Ch. 12	Tutorial 4 QuestionsQuiz 2 (In tutorial; Week 4 material)
6	Topic: Black-Scholes Model for Pricing OptionsReadings: Lecture Notes 6, Hull et al Ch. 13	Tutorial 5 QuestionsQuiz 3 (In tutorial; Week 5 material)
7	Topic: Index and Foreign Exchange OptionsReadings: Lecture Notes 7, Hull et al Ch. 15	Tutorial 6 QuestionsQuiz 4 (In tutorial; Week 6 material)
8	Topic: Options on Futures ContractsReadings: Lecture Notes 8, Hull et al Ch. 16	Tutorial 7 Questions
9	Topic: The Greek LettersReadings: Lecture Notes 9, Hull et al Ch. 17	Tutorial 8 QuestionsAssignment due (Friday; Via Turnitin on Wattle)
10	Topic: Exotic Options and other Non-standard ProductsReadings: Lecture Notes 10, Hull et al Ch. 22	Tutorial 9 QuestionsQuiz 5 (In tutorial; Week 9 material)
11	Topic: Credit, Weather, Energy and Insurance Derivatives and Derivatives Mishaps and Ethics in Risk ManagementReadings: Lecture Notes 11, Hull et al Ch. 23, 24 & 25CFA Standards of Practice Handbook, Standard IV: Duties to Employers.pgs. 105-126	Tutorial 10 QuestionsQuiz 6 (In tutorial; Week 10 material)
12	Topic: ReviewReadings: Lecture Notes 12	Tutorial 11 Questions
13	Examination period

Tutorial Registration

Tutorials will be held weekly (starting from Week 2). Tutorials will be available on campus. Students should enrol in their tutorial using MyTimetable.

Assessment Summary

Assessment task	Value	Due Date	Return of assessment	Learning Outcomes
Quizzes (Paper-based; In-Tutorial)	15 %	03/04/2024	03/04/2024	1-6
Assignment (Submission via Wattle Turnitin)	25 %	03/05/2024	24/05/2024	1,2,6
Final Examination	60 %	30/05/2024	27/06/2020	1-6

* If the Due Date and Return of Assessment date are blank, see the Assessment Tab for specific Assessment Task details

Policies

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 Integrity Rule before the commencement of their course. Other key policies and guidelines include:

• Academic Integrity Policy and Procedure
• Student Assessment (Coursework) Policy and Procedure
• Extenuating Circumstances Application
• Student Surveys and Evaluations
• Deferred Examinations
• Student Complaint Resolution Policy and Procedure
• Code of practice for teaching and learning

Assessment Requirements

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 Skills website. 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.

Participation

Course content delivery will take the form of weekly on-campus lectures (recorded and available via echo360 on Wattle), weekly on-campus workshops (recorded) and weekly tutorials, all delivered on campus. Weekly consultations with the lecturer and the tutor(s) can be conducted in-person or over Zoom.

Examination(s)

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.

Assessment Task 1

Quizzes (Paper-based; In-Tutorial)

• 6 quizzes will be held within tutorials on the weeks specified in this outline (unless otherwise stated by the lecturer).

• Students MUST sit the quiz in the tutorial they are enrolled in; otherwise the quiz will not count.

• The content for the quizzes will be limited to course material from the previous week.

• The quizzes are paper-based and students will need to provide written answers.

• The quizzes will be 10 – 15 minutes in duration, at the end of the tutorial.

• To account for unforeseen circumstances, students’ BEST 5 marks out of the 6 quizzes will count towards 15% of their overall course grade. Therefore, alternate sittings of the quizzes are not permitted under any circumstances.

• A number of quizzes will be of a difficulty level similar to exam questions to give students practice attempting exam-type questions under examination conditions.

• Students should receive their quizzes back one week after the quiz is held.

Assessment Task 2

Assignment (Submission via Wattle Turnitin)

· Students are expected to complete this assignment in a team of up to three students within the same cohort.

· The assignment is worth 25% of the course grade.

· The assignment must be typed in full and submitted via Turnitin, due at 23:59 pm the Friday of Week 9.

· Emailed/scanned handwritten submissions receive an automatic 0 for the assignment.

· The assignment is intended to provide a thorough understanding of the material learned in class and stimulate further learning through applied analysis and research.

· Complete details of the assignment will be made available on Wattle from Week 1.

· Team formation is open on Wattle from Week 1 and must be completed by Week 3.

· No late submission of assessment tasks 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 for the entire team.

Assessment Task 3

Final Examination

A compulsory final examination will be held during the university examination period at the end of the semester. The exam will be on campus and will cover the entire syllabus. It will be closed book. The only permitted materials in the examination are a calculator (scientific, non-programmable and not a financial calculator), dictionary (which will be checked at the examination), pen and ruler.

The final exam is worth 60% of the overall score in the course. The exam duration will be 3 hours. The final exam may consist of multiple choice questions, short-answer calculation questions and short-answer written questions. Students will be required to submit working for questions, as specified in the assessment. All work must be the students' own. Further details on the exam (exam duration and format) will be made available by the end of Week 10.

The exam will be centrally timetabled. Details of the final examination timetable will be made available on the ANU Timetabling website. The onus is upon students to acquire their own scheduling details.

Academic Integrity

Academic integrity is a core part of the ANU culture as a community of scholars. The University’s students are an integral part of that community. The academic integrity principle commits all students to engage in academic work in ways that are consistent with, and actively support, academic integrity, and to uphold this commitment by behaving honestly, responsibly and ethically, and with respect and fairness, in scholarly practice.

The University expects all staff and students to be familiar with the academic integrity principle, the Academic Integrity Rule 2021, the Policy: Student Academic Integrity and Procedure: Student Academic Integrity, and to uphold high standards of academic integrity to ensure the quality and value of our qualifications.

The Academic Integrity Rule 2021 is a legal document that the University uses to promote academic integrity, and manage breaches of the academic integrity principle. The Policy and Procedure support the Rule by outlining overarching principles, responsibilities and processes. The Academic Integrity Rule 2021 commences on 1 December 2021 and applies to courses commencing on or after that date, as well as to research conduct occurring on or after that date. Prior to this, the Academic Misconduct Rule 2015 applies.

 

The University commits to assisting all students to understand how to engage in academic work in ways that are consistent with, and actively support academic integrity. All coursework students must complete the online Academic Integrity Module (Epigeum), and Higher Degree Research (HDR) students are required to complete research integrity training. The Academic Integrity website provides information about services available to assist students with their assignments, examinations and other learning activities, as well as understanding and upholding academic integrity.

Online Submission

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.

Hardcopy Submission

There is no hard copy submission for the assignment.

Late Submission

No submission of assessment tasks 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.

Referencing Requirements

The Academic Skills website has information to assist you with your writing and assessments. The website includes information about Academic Integrity including referencing requirements for different disciplines. There is also information on Plagiarism and different ways to use source material.

Returning Assignments

Assignment will be returned via Wattle.

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.

Resubmission of Assignments

Students will not be permitted to re-submit assignments after the due date.

Privacy Notice

The ANU has made a number of third party, online, databases available for students to use. Use of each online database is conditional on student end users first agreeing to the database licensor’s terms of service and/or privacy policy. Students should read these carefully. In some cases student end users will be required to register an account with the database licensor and submit personal information, including their: first name; last name; ANU email address; and other information.
In cases where student end users are asked to submit ‘content’ to a database, such as an assignment or short answers, the database licensor may only use the student’s ‘content’ in accordance with the terms of service – including any (copyright) licence the student grants to the database licensor. Any personal information or content a student submits may be stored by the licensor, potentially offshore, and will be used to process the database service in accordance with the licensors terms of service and/or privacy policy.
If any student chooses not to agree to the database licensor’s terms of service or privacy policy, the student will not be able to access and use the database. In these circumstances students should contact their lecturer to enquire about alternative arrangements that are available.

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 Access 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 all ANU students