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 2021-22 Level 6 FHEQ First Semester 15

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

ECON211 MATHEMATICAL ECONOMICS 2; ECON212 ECONOMETRICS 1; ECON213 ECONOMETRICS 2 

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 12

6

      12

6

36
Timetable (if known) 60 mins X 1 totaling 12
 
        120 mins X 1 totaling 24
60 mins X 1 totaling 6
 
 
Private Study 114
TOTAL HOURS 150

Assessment

EXAM Duration Timing
(Semester)
% of
final
mark
Resit/resubmission
opportunity
Penalty for late
submission
Notes
Assessment 2: Open book Mid-term test (Online) Assessment Type: Written Exam Duration: 24 hour [expectation 1 hour completion time] Weighting: 20% Reassessment Opportunity: Yes Penalty   24 hour [expectation    20       
Assessment 1: Open book Examination (Online) Assessment Type: Written Exam Duration: 72 hours [expectation 2 hour completion time] Weighting: 80% Reassessment Opportunity: Yes Penalty f  72 hours [expectatio    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 based on historical data

(LO6) Students will be able to forecast asset return 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: Online Asynchronous Learning Materials
Description: The recordings are intended to provide an introduction to the topics covered in the syllabus.
Unscheduled Directed Student Hours: 12
Attendance Recorded: No

Teaching Method: Synchronous Session
Scheduled Directed Student Hours: 12
Attendance Recorded: No

Teaching Method: Seminar
Description: Seminars will provide students with the opportunity to further develop their skills though the exploration of various theoretical problems
Scheduled Directed Student Hours: 6
Attendance Recorded: Yes

Teaching Method: Group Study
Description: Biweekly 1 hour session to foster student community and engagement by working with others on their ‘active learning’ activities
Scheduled Student Hours: 6
Attendance Recorded: No

Self-Directed learning Hours: 114
Description: These independent learning hours are aimed at supporting the directed stu dent 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:
students must have taken ECON212, ECON212 and 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 assessm ent (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;

Econometric issues in Financial Economics: Forecasting Mean and Variance


Recommended Texts

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