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Unit of study_

FINC6000: Quantitative Finance and Derivatives

This unit provides students with an introduction to quantitative models and techniques in finance. Topics covered include basic stochastic calculus, probability measures and the role of numeraires, Black-Scholes and Hull-White models, and the theoretical and numerical techniques for valuing derivatives. There is a focus on both the intuitive and mathematical understanding of these topics, as well as their application to problems in quantitative finance.


Academic unit Finance
Unit code FINC6000
Unit name Quantitative Finance and Derivatives
Session, year
Semester 1, 2021
Attendance mode Normal day
Location Camperdown/Darlington, Sydney
Credit points 6

Enrolment rules

Assumed knowledge

This unit requires students to have some background in calculus, matrices, statistics and probability.

Available to study abroad and exchange students


Teaching staff and contact details

Coordinator Oh Kwon,
Lecturer(s) Oh Kwon ,
Tutor(s) Quan Gan ,
Type Description Weight Due Length
Final exam (Record+) Type B final exam Final exam
Short answer and calculation type questions
50% Formal exam period 2 hours
Outcomes assessed: LO1 LO2
In-semester test (Record+) Type B in-semester exam Mid-semester exam
Short answer and calculation type questions
30% Week 08
Due date: 27 Apr 2021 at 10:00
1 hour
Outcomes assessed: LO1 LO2
Assignment group assignment Assignment
Written and computational tasks
20% Week 11
Due date: 17 May 2021 at 18:00

Closing date: 27 May 2021
12 pages
Outcomes assessed: LO1 LO2 LO3
group assignment = group assignment ?
Type B final exam = Type B final exam ?
Type B in-semester exam = Type B in-semester exam ?
  • Mid-semester exam: This exam will cover the material from weeks 1 to 6 inclusive. 
  • Assignment: The assignment is to be completed in groups of up to 5 students. Successful completion of the assignment may require Excel or other numerical software such as Matlab, and the assignment must be typed.
  • Final exam: This exam will assess the material covered over the entire semester. 

Detailed information for each assessment will be posted on Canvas.

Assessment criteria

The University awards common result grades, set out in the Coursework Policy 2014 (Schedule 1).

As a general guide, a high distinction indicates work of an exceptional standard, a distinction a very high standard, a credit a good standard, and a pass an acceptable standard.

Result name

Mark range


High distinction

85 - 100

Awarded when you demonstrate the learning outcomes for the unit at an exceptional standard, as defined by grade descriptors or exemplars outlined by your faculty or school. 


75 - 84

Awarded when you demonstrate the learning outcomes for the unit at a very high standard, as defined by grade descriptors or exemplars outlined by your faculty or school.


65 - 74

Awarded when you demonstrate the learning outcomes for the unit at a good standard, as defined by grade descriptors or exemplars outlined by your faculty or school.


50 - 64

Awarded when you demonstrate the learning outcomes for the unit at an acceptable standard, as defined by grade descriptors or exemplars outlined by your faculty or school. 


0 - 49

When you don’t meet the learning outcomes of the unit to a satisfactory standard.

For more information see

Late submission

In accordance with University policy, these penalties apply when written work is submitted after 11:59pm on the due date:

  • Deduction of 5% of the maximum mark for each calendar day after the due date.
  • After ten calendar days late, a mark of zero will be awarded.

Special consideration

If you experience short-term circumstances beyond your control, such as illness, injury or misadventure or if you have essential commitments which impact your preparation or performance in an assessment, you may be eligible for special consideration or special arrangements.

Academic integrity

The Current Student website provides information on academic integrity and the resources available to all students. The University expects students and staff to act ethically and honestly and will treat all allegations of academic integrity breaches seriously.

We use similarity detection software to detect potential instances of plagiarism or other forms of academic integrity breach. If such matches indicate evidence of plagiarism or other forms of academic integrity breaches, your teacher is required to report your work for further investigation.

You may only use artificial intelligence and writing assistance tools in assessment tasks if you are permitted to by your unit coordinator, and if you do use them, you must also acknowledge this in your work, either in a footnote or an acknowledgement section.

Studiosity is permitted for postgraduate units unless otherwise indicated by the unit coordinator. The use of this service must be acknowledged in your submission.

WK Topic Learning activity Learning outcomes
Week 01 Introduction and mathematical preliminaries 1 Lecture (2 hr)  
Week 02 Mathematical preliminaries 2 Lecture (3 hr)  
Week 03 Mathematical preliminaries 3 Lecture (3 hr)  
Week 04 Black-Scholes model Lecture (3 hr)  
Week 05 Volatility smile Lecture (3 hr)  
Week 06 Foreign exchange derivatives Lecture (3 hr)  
Week 07 Interest rate modelling and the Hull-White model Lecture (3 hr)  
Week 08 Mid-Semester Exam Lecture (3 hr)  
Week 09 Interest rate derivatives Lecture (3 hr)  
Week 10 Monte Carlo 1: Monte Carlo basics Lecture (3 hr)  
Week 11 Monte Carlo 2: Variance reduction methods Lecture (3 hr)  
Week 12 Monte Carlo 3: Monte Carlo sensitivities Lecture (3 hr)  
Week 13 Quantitative Finance in Practice and Feedback Lecture (3 hr)  

Attendance and class requirements

Lecture recordings: All lectures and seminars are recorded and will be available on Canvas for student use. Please note the Business School does not own the system and cannot guarantee that the system will operate or that every class will be recorded. Students should ensure they attend and participate in all classes.

Study commitment

Typically, there is a minimum expectation of 1.5-2 hours of student effort per week per credit point for units of study offered over a full semester. For a 6 credit point unit, this equates to roughly 120-150 hours of student effort in total.

Learning outcomes are what students know, understand and are able to do on completion of a unit of study. They are aligned with the University’s graduate qualities and are assessed as part of the curriculum.

At the completion of this unit, you should be able to:

  • LO1. value financial derivatives using analytical and numerical techniques
  • LO2. apply quantitative finance concepts to solve practical problems.
  • LO3. explain financial decisions with the support of quantitative financial tools.

Graduate qualities

The graduate qualities are the qualities and skills that all University of Sydney graduates must demonstrate on successful completion of an award course. As a future Sydney graduate, the set of qualities have been designed to equip you for the contemporary world.

GQ1 Depth of disciplinary expertise

Deep disciplinary expertise is the ability to integrate and rigorously apply knowledge, understanding and skills of a recognised discipline defined by scholarly activity, as well as familiarity with evolving practice of the discipline.

GQ2 Critical thinking and problem solving

Critical thinking and problem solving are the questioning of ideas, evidence and assumptions in order to propose and evaluate hypotheses or alternative arguments before formulating a conclusion or a solution to an identified problem.

GQ3 Oral and written communication

Effective communication, in both oral and written form, is the clear exchange of meaning in a manner that is appropriate to audience and context.

GQ4 Information and digital literacy

Information and digital literacy is the ability to locate, interpret, evaluate, manage, adapt, integrate, create and convey information using appropriate resources, tools and strategies.

GQ5 Inventiveness

Generating novel ideas and solutions.

GQ6 Cultural competence

Cultural Competence is the ability to actively, ethically, respectfully, and successfully engage across and between cultures. In the Australian context, this includes and celebrates Aboriginal and Torres Strait Islander cultures, knowledge systems, and a mature understanding of contemporary issues.

GQ7 Interdisciplinary effectiveness

Interdisciplinary effectiveness is the integration and synthesis of multiple viewpoints and practices, working effectively across disciplinary boundaries.

GQ8 Integrated professional, ethical, and personal identity

An integrated professional, ethical and personal identity is understanding the interaction between one’s personal and professional selves in an ethical context.

GQ9 Influence

Engaging others in a process, idea or vision.

Outcome map

Learning outcomes Graduate qualities
In response to suggestions from past students, exams have been shortened slightly.


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