FINC6005: Semester 1, 2021

University home

Library

Current students

Staff intranet

Find an event

Give

Current students

Units FINC6005 Semester 1 2021 [Normal day]

Unit of study_

FINC6005: Advanced Asset Pricing

Overview

This unit covers the fundamentals of asset pricing and valuation, under equilibrium conditions and under no-arbitrage restrictions. It reviews the main themes in modern asset pricing, and introduce ideas of importance to the evolution of the discipline, and consequently of relevance to a practitioner's long term perspective. The unit emphasises quantitative methods, so students are required to have fairly strong mathematical skills. Nevertheless, the mathematical tools needed in the unit are adequately reviewed.

Details

Academic unit	Finance
Unit code	FINC6005
Unit name	Advanced Asset Pricing
Session, year ?	Semester 1, 2021
Attendance mode	Normal day
Location	Remote
Credit points	6

Enrolment rules

Prohibitions ?	None
Prerequisites ?	FINC5001 or FINC6000
Corequisites ?	None
Available to study abroad and exchange students	Yes

Teaching staff and contact details

Coordinator	Guanglian Hu, guanglian.hu@sydney.edu.au

Type	Description	Weight	Due	Length
Final exam (Record+)	Final Exam n/a	40%	Formal exam period	2 hours
Outcomes assessed:
Online task	Quiz 1 Short answer and/or MCQ	20%	Week 04	1 hour
Outcomes assessed:
Online task	Quiz 2 Short answer and/or MCQ	20%	Week 09	1 hour
Outcomes assessed:
Assignment	Assignment Written and computational task	20%	Week 13 Due date: 07 Jun 2021 at 23:59 Closing date: 14 Jun 2021	n/a
Outcomes assessed:
= Type B final exam ?

Quiz 1: It will cover the materials up to and including weeks 1-4.
Quiz 2: It will cover the materials up to and including weeks 5-8.
Final exam: It will cover the entire unit.
Assignment: The assignment will consist of both theoretical questions and empirical application of models that are covered in the unit. Some aspects of the assignment may be computational and require students to critically analyse models and how well they explain financial data.

Detailed information for each assessment can be found 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	Description
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.
Distinction	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.
Credit	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.
Pass	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.
Fail	0 - 49	When you don’t meet the learning outcomes of the unit to a satisfactory standard.

For more information see sydney.edu.au/students/guide-to-grades.

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 honesty, academic dishonesty, 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 dishonesty or plagiarism seriously.

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

Weekly schedule

WK	Topic	Learning activity
Week 01	Introduction	Lecture (3 hr)
Week 02	Mean-variance portfolio theory	Lecture (3 hr)
Week 03	Mean-variance portfolio theory	Lecture (3 hr)
Week 04	The capital asset pricing model (CAPM) and anomalies	Lecture (3 hr)
Week 05	The capital asset pricing model (CAPM) and anomalies	Lecture (3 hr)
Week 06	Consumption-based asset pricing models	Lecture (3 hr)
Week 07	Forecasting asset returns	Lecture (3 hr)
Week 08	Binomial options pricing model	Lecture (3 hr)
Week 09	Black-Scholes model 1	Lecture (3 hr)
Week 10	Black-Scholes model 2	Lecture (3 hr)
Week 11	Extracting information from option markets	Lecture (3 hr)
Week 12	Volatility derivatives	Lecture (3 hr)
Week 13	Review lecture	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

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.

Outcomes
Graduate qualities

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

LO1. explain and demonstrate mathematically the theory of the utility, equilibrium and arbitrage-free based approaches to asset pricing
LO2. explain and be able to derive modern portfolio theory and CAPM results
LO3. explain and demonstrate mathematically arbitrage theorems as they relate to asset pricing
LO4. describe the process of and show mathematically how to value options and other derivatives via the Black-Scholes and binomial methodology
LO5. use mathematics to model financial phenomena in non-standard scenarios
LO6. analyse critically the strengths and weaknesses of various asset pricing models and explain how they could be used/misused in practice.

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
Learning outcomes

Closing the loop

No changes have been made since this unit was last offered.

Additional information

Key dates
Key dates through the academic year, including teaching periods, census, payment deadlines and exams.
Student administration
Enrolment, course planning, fees, graduation, support services, student IT
Expectations of student conduct
Code of Conduct for Students, Conditions of Enrollment, University Privacy Statement, Academic Integrity
Academic appeals
Academic appeals process, special consideration, rules and guidelines, advice and support
Learning and teaching policy
Policy register, policy search
Financial support
Scholarships, interest free loans, bursaries, money management
Study resources
Learning Centre, faculty and school programs, Library, online resources
Health and support
Student Centre, counselling & psychological services, University Health Service, general health and wellbeing

Disclaimer

The University reserves the right to amend units of study or no longer offer certain units, including where there are low enrolment numbers.

To help you understand common terms that we use at the University, we offer an online glossary.

Current students

Overview

Details

Enrolment rules

Teaching staff and contact details

Assessment

Assessment criteria

Late submission

Special consideration

Academic integrity

Weekly schedule

Attendance and class requirements

Study commitment

Learning outcomes

Graduate qualities

Outcome map

Closing the loop

Additional information

Disclaimer

On this page

Useful links

Media

Student links

About us

Connect