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 2022-23 | 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 |
24 |
6 |
5 |
35 | |||
Timetable (if known) |
120 mins X 1 totaling 24
|
60 mins X 1 totaling 6
|
60 mins X 1 totaling 5
|
||||
Private Study | 115 | ||||||
TOTAL HOURS | 150 |
Assessment |
||||||
EXAM | Duration | Timing (Semester) |
% of final mark |
Resit/resubmission opportunity |
Penalty for late submission |
Notes |
Assessment 2: Mid-term Assessment Type: Written Exam Duration: 1 hour Weighting: 20% Reassessment Opportunity: Yes Penalty for Late Submission: Standard UoL Penalty Applies Anonymous | 1 | 20 | ||||
Assessment 1: Written Unseen Examination Assessment Type: Written Exam Duration: 2 hours Weighting: 80% Reassessment Opportunity: Yes Penalty for Late Submission: Standard UoL Penalty Ap | 2 | 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: Lecture Teaching Method: Workshop Teaching Method: Group Study Self-Directed learning Hours: 115 Costs Information: There are the following non-modular requirements: Skills/Other Attributes Mapping Skills / attributes: Problem-solving skills Skills / attributes: Numeracy |
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. |