BUS5900 , Unit Information Guide (Semester 1, 2006)

Chief Examiner Paul Lajbcygier
Lecturers
Clayton : Paul Lajbcygier
Outline The use of computing technology for the solution of applied investment and finance problems is taught in this unit. An introduction to share, futures and option pricing theory is provided, however the focus remains on the solution of applied investment problems using computing technology rather than on investment theory per se. To this end, students analyse data from financial markets in spreadsheet and statistical packages. The benefit of this focus is that it provides students with a very practical know-how on how to create working solutions to investment problems and is therefore relevant to students interested in a career combining finance and/or accounting with computing.
Objectives To appreciate how to use computers for the solution to real problems in finance.
Prerequisites There are no prerequisites for this unit.

Unit relationships BUS5900 is a elective unit in the MBS.
Texts and software

Required text(s)

Lajbcygier, P, "Computational Finance", 1999.

 

 

Text books are available from the Monash University Book Shops. Availability from other suppliers cannot be assured. The Bookshop orders texts in specifically for this unit. You are advised to purchase your text book early.

Software requirements:

Microsoft Excel

Hardware requirements:

Students studying off-campus are required to have the minimum system configuration specified by the faculty as a condition of accepting admission, and regular Internet access. On-campus students, and those studying at supported study locations may use the facilities available in the computing labs. Information about computer use for students is available from the ITS Student Resource Guide in the Monash University Handbook. You will need to allocate up to n hours per week for use of a computer, including time for newsgroups/discussion groups.

Recommended reading

Library access You may need to access the Monash library either personally to be able to satisfactorily complete the subject.  Be sure to obtain a copy of the Library Guide, and if necessary, the instructions for remote access from the library website.
Study resources

Study resources for BUS5900 are:

All resources are provided in MUSO or in the textbook.

Structure and organisation

Week

Topics

Study Guide

1 Share valuation using DCF
2 Financial Ratio Analysis
3 The statistcal properties of share portfolios
4 How to calculate the variance covariance matrix
5 The capital market line
6 Beta and SML
7 No short sales and SML
Non-teaching
8 Futures and options
9 binomial option pricing
10 binomial option pricing pt2
11 Implied volatility
12 Bonds
13 Revision
Timetable

The timetable for on-campus classes for this unit can be viewed in Allocate+

Assessment

60% Exam

5% Ratio assignment

10% Group Assignment

15% Individual Assignment

10% Test

Assessment Policy

To pass this unit you must:

Pass the assessment in aggregate

Your score for the unit will be calculated by:

Exam (60%)+Ratio Assignment (5%)+Group Assignment(10%)+Individual Assignment (15%)+ Test (10%)

Assessment Requirements

Assessment

Due Date

Weighting

Exam TBA 60 %
Ratio Assignment 13/03/06 5 %
Group Assignment 15/05/06 10 %
Individal Assignment 22/05/06 15 %
Test 24/04/06 10 %

Assignment specifications will be made available . Information about assignments will be published on the Unit's Notices Newsgroup.

Assignment Submission Methods

Assignments will be submitted by electronic/paper submission to MUSO/ Assignment boxes.

Extensions and late submissions

Late submission of assignments

Assignments received after the due date will be subject to a penalty of 20% per day.

This policy is strict because comments or guidance will be given on assignments as they are returned, and sample solutions may also be published and distributed, after assignment marking or with the returned assignment. 

Extensions

It is your responsibility to structure your study program around assignment deadlines, family, work and other commitments. Factors such as normal work pressures, vacations, etc. are seldom regarded as appropriate reasons for granting extensions. 

Requests for extensions must be made by email to lecturer at least two days before the due date. You will be asked to forward original medical certificates in cases of illness, and may be asked to provide other forms of documentation where necessary. A copy of the email or other written communication of an extension must be attached to the assignment submission.

Grading of assessment

Assignments, and the unit, will be marked and allocated a grade according to the following scale:

HD High Distinction - very high levels of achievement, demonstrated knowledge and understanding, skills in application and high standards of work encompassing all aspects of the tasks.
In the 80+% range of marks for the assignment.
D Distinction - high levels of achievement, but not of the same standards. May have a weakness in one particular aspect, or overall standards may not be quite as high.
In the 70-79% range.
C Credit - sound pass displaying good knowledge or application skills, but some weaknesses in the quality, range or demonstration of understanding.
In the 60-69% range.
P Pass - acceptable standard, showing an adequate basic knowledge, understanding or skills, but with definite limitations on the extent of such understanding or application. Some parts may be incomplete.
In the 50-59% range.
N Not satisfactory -  failure to meet the basic requirements of the assessment.
Below 50%.

We will aim to have assignment results made available to you within two weeks after assignment receipt.

Feedback Feedback to you

You will receive feedback on your work and progress in this unit. This feedback may be provided through your participation in tutorials and class discussions, as well as through your assignment submissions. It may come in the form of individual advice, marks and comments, or it may be provided as comment or reflection targeted at the group. It may be provided through personal interactions, such as interviews and on-line forums, or through other mechanisms such as on-line self-tests and publication of grade distributions.

Feedback from you

You will be asked to provide feedback to the Faculty through a Unit Evaluation survey at the end of the semester. You may also be asked to complete surveys to help teaching staff improve the unit and unit delivery. Your input to such surveys is very important to the faculty and the teaching staff in maintaining relevant and high quality learning experiences for our students.

And if you are having problems

It is essential that you take action immediately if you realise that you have a problem with your study. The semester is short, so we can help you best if you let us know as soon as problems arise. Regardless of whether the problem is related directly to your progress in the unit, if it is likely to interfere with your progress you should discuss it with your lecturer or a Community Service counsellor as soon as possible.

Plagiarism and cheating

Plagiarism and cheating are regarded as very serious offences. In cases where cheating  has been confirmed, students have been severely penalised, from losing all marks for an assignment, to facing disciplinary action at the Faculty level. While we would wish that all our students adhere to sound ethical conduct and honesty, I will ask you to acquaint yourself with Student Rights and Responsibilities and the Faculty regulations that apply to students detected cheating as these will be applied in all detected cases.

In this University, cheating means seeking to obtain an unfair advantage in any examination or any other written or practical work to be submitted or completed by a student for assessment. It includes the use, or attempted use, of any means to gain an unfair advantage for any assessable work in the unit, where the means is contrary to the instructions for such work. 

When you submit an individual assessment item, such as a program, a report, an essay, assignment or other piece of work, under your name you are understood to be stating that this is your own work. If a submission is identical with, or similar to, someone else's work, an assumption of cheating may arise. If you are planning on working with another student, it is acceptable to undertake research together, and discuss problems, but it is not acceptable to jointly develop or share solutions unless this is specified by your lecturer. 

Intentionally providing students with your solutions to assignments is classified as "assisting to cheat" and students who do this may be subject to disciplinary action. You should take reasonable care that your solution is not accidentally or deliberately obtained by other students. For example, do not leave copies of your work in progress on the hard drives of shared computers, and do not show your work to other students. If you believe this may have happened, please be sure to contact your lecturer as soon as possible.

Cheating also includes taking into an examination any material contrary to the regulations, including any bilingual dictionary, whether or not with the intention of using it to obtain an advantage.

Plagiarism involves the false representation of another person's ideas, or findings, as your own by either copying material or paraphrasing without citing sources. It is both professional and ethical to reference clearly the ideas and information that you have used from another writer. If the source is not identified, then you have plagiarised work of the other author. Plagiarism is a form of dishonesty that is insulting to the reader and grossly unfair to your student colleagues.

Communication

Email

Notices

Notices related to the unit during the semester will be placed on the Notices Newsgroup in the Unit Website. Check this regularly. Failure to read the Notices newsgroup is not regarded as grounds for special consideration.

Consultation Times

9-11am Monday

If direct communication with your unit adviser/lecturer or tutor outside of consultation periods is needed you may contact the lecturer and/or tutors at:

Dr Paul Lajbcygier
Senior Lecturer
Phone +61 3 990 59694

All email communication to you from your lecturer will occur through your Monash student email address. Please ensure that you read it regularly, or forward your email to your main address. Also check that your contact information registered with the University is up to date in My.Monash.

Last updated: May 4, 2006