CORPFIN 7023 - Financial Modelling Techniques (M)

North Terrace Campus - Semester 2 - 2021

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.

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Course Details

Course Code	CORPFIN 7023
Course	Financial Modelling Techniques (M)
Coordinating Unit	Finance and Banking
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
Assessment	Exam/assignments/tests/tutorial work as prescribed at first lecture

Course Staff

Course Coordinator: Dr Judith Bunder

Course Timetable

The full timetable of all activities for this course can be accessed from .

Course Learning Outcomes

On 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	1,2,3

Learning Resources

Required Resources

None

Recommended Resources

1. 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 Learning

This course uses MyUni exclusively for providing electronic resources, such as notes, videos, quizzes, assignments and solutions et cetera.

Learning & Teaching Modes

Comprehensive course notes are provided. Each week, videos will be made available. Videos will consist of the lecturer explaining key material and examples from the lecture notes. Weekly face-to-face lectures and tutorials supplement this, providing exercises to enhance learning and confirm understanding including interaction with the lecturer and/or tutor. Three written assignments, three online tests and weekly quizzes 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.

Workload

The information below is provided as a guide to assist students in engaging appropriately with the course requirements.

Activity	Quantity	Workload Hours
Lecture material Tutorials Online tests Online quizzes Assignments	12 weeks 12 tutorials 3 tests 12 quizzes 3 assignments	90 hours 24 hours 3 hours 3 hours 30 hours
Total		150

Learning Activities Summary

Topics

1. Call options - European and American
2. Trading options
3. Put options
4. Arbitrage
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
10. Volatility
11. Variable interest rates
12. Valuing American options
13. Barrier options
14. Forward contracts
15. Interest rate derivatives
16. Bonds
17. Ho-Lee model
18. Futures markets
19. Managing risk
20. Hedging
21. Sensitivity of 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 Summary

Assessment Task	Weighting	Learning Outcome
Assignments	15%	all
Online quizzes	10%	all
Online tests	15%	all
Exam	60%	all

Assessment Related Requirements

An aggregate score of at least 50% is required to pass the course.

Assessment Detail

Assessment Task	Distributed	Due Date	Weighting
Assignment 1 Assignment 2 Assignment 3 Online test 1 Online test 2 Online test 3 Quizzes Exam	Week 4 Week 6 Week 8 Week 4 Week 6 Week 8 Weekly Exam period	Week 6 Week 8 Week 10 Week 4 Week 6 Week 8 Weekly	5% 5% 5% 5% 5% 5% 10% in total 60%

Submission

Assignments are to be submitted online via MyUni. Late assignments will not be accepted.

Course Grading

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 .

Student Feedback

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.
Student Support
Policies & Guidelines
This section contains links to relevant assessment-related policies and guidelines - all university policies.
Fraud Awareness

Students are reminded that in order to maintain the academic integrity of all programs and courses, the university has a zero-tolerance approach to students offering money or significant value goods or services to any staff member who is involved in their teaching or assessment. Students offering lecturers or tutors or professional staff anything more than a small token of appreciation is totally unacceptable, in any circumstances. Staff members are obliged to report all such incidents to their supervisor/manager, who will refer them for action under the university's student鈥檚 disciplinary procedures.

The 成人大片 is committed to regular reviews of the courses and programs it offers to students. The 成人大片 therefore reserves the right to discontinue or vary programs and courses without notice. Please read the important information contained in the disclaimer.

Authorised by:	Deputy Vice-Chancellor and Vice-President (Academic)
Maintained by:	Course Outlines Administrator

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