ULMS Electronic Module Catalogue
The information contained in this module specification was correct at the time of publication but may be subject to change, either during the session because of unforeseen circumstances, or following review of the module at the end of the session. Queries about the module should be directed to the member of staff with responsibility for the module.
Title QUANTITATIVE FINANCIAL ECONOMICS
Code ECON308
Coordinator Dr R Bu
Economics
Ruijunbu@liverpool.ac.uk
Year CATS Level Semester CATS Value
Session 2019-20 Level 6 FHEQ First Semester 15

Pre-requisites before taking this module (other modules and/or general educational/academic requirements):
 

Modules for which this module is a pre-requisite:
 

Programme(s) (including Year of Study) to which this module is available on a required basis:
 

Programme(s) (including Year of Study) to which this module is available on an optional basis:
 

Teaching Schedule
  Lectures Seminars Tutorials Lab Practicals Fieldwork Placement Other TOTAL
Study Hours 24

   5

       29
Timetable (if known) 120 mins X 1 totaling 24
  		           
Private Study 121
TOTAL HOURS 150

Assessment
EXAM Duration Timing
(Semester)		 % of
final
mark		 Resit/resubmission
opportunity		 Penalty for late
submission		 Notes
Assessment 2: Mid-term test Assessment Type: Written Exam Duration: 1 hour Weighting: 20% Reassessment Opportunity: Yes Penalty for Late Submission: Standard UoL Penalty Applies Anonymou  1 hour    20       
Assessment 1: Examination Assessment Type: Written Exam Duration: 2 hours Weighting: 80% Reassessment Opportunity: Yes Penalty for Late Submission: Standard UoL Penalty Applies Anonymous  2 hours    80       
CONTINUOUS Duration Timing
(Semester)		 % of
final
mark		 Resit/resubmission
opportunity		 Penalty for late
submission		 Notes
             

Aims

This module provides a thorough overview of financial economics, starting from the decision-making under uncertainty and applying these concepts to optimal portfolio choice by the consumer, optimal investment by the firm, pricing contingent claims, term structure of interest rates and real option analysis.  In addition to standard asset pricing models, the efficient capital markets theory will be extensively  covered.

Learning Outcomes

(LO1) Students will be able to understand the role of capital markets

(LO2) Students will be able to use capital budgeting techniques

(LO3) Students will be able to understand and measure risk aversion

(LO4) Students will be able to calculate the optimal portfolio between two risky assets

(LO5) Students will be able to forecast asset return and volatility based on historical data

(LO6) Students will be able to forecast asset return and volatility based on historical data

(LO7) Students will be able to understand and use futures and forward contracts

(LO8) Students will be able to understand and be able to use options

(S1) Problem-solving skills

(S2) Numeracy

Teaching and Learning Strategies

Teaching Method: Lecture
Description: The lectures are intended to provide an introduction to the topics covered in the syllabus.
Scheduled Directed Student Hours: 24
Attendance Recorded: Yes

Teaching Method: Tutorial
Description: Tutorials will provide students with the opportunity to further develop their skills though the exploration of various theoretical problems
Scheduled Directed Student Hours: 5
Attendance Recorded: Yes

Self-Directed learning Hours: 121
Description: These independent learning hours are aimed at supporting the directed student learning. The module leader will provide guidance in the form of suggested readings and topics to examine with the expectation that students are well prepared to contribute to the tutorial activities and to understand the content of lectures. Self-Directed Learning will include research activity, developing academic writing skills, and wider reading to support the module

Costs Information:
Students will incur no additional costs as a result of taking this module

There are the following non-modular requirements:
ECON212 with either ECON211 or ECON213

Skills/Other Attributes Mapping

Skills / attributes: Problem-solving skills
How this is developed: Developed through working with problem sets (tutorials questions)
Mode of assessment (if applicable): Examination and Mid-term test

Skills / attributes: Numeracy
How this is developed: Developed through working with problem sets (tutorials questions)
Mode of assessment (if applicable): Examination and Mid-term test

Syllabus
 

Introduction: Capital Markets, Consumption, and Investment;

Investment Decisions: The Certainty Case;

The Theory of Choice: Utility Theory Given Uncertainty;

Object of Choice: Mean-Variance Portfolio Theory;

Statistical Models: ARMA and GARCH;

Forward Contracts and Futures Markets: Pricing and Investment Strategy;

Options Markets: Pricing and Investment Strategy;

Further Topics and other econometric issues in Financial Economics.

Recommended Texts
Reading lists are managed at readinglists.liverpool.ac.uk. Click here to access the reading lists for this module.