| Code | FIN255 |
| School | EBSL |
| Module Level | 2 |
| Module Code | FIN255 |
| Class | GE|EL|MA|MI| |
| Availability | DE|SA| |
| Semester | 1 |
| Credits | 12 |
| ECTS Credits | 6 |
| Contact Hours | 48 |
| Self Study Hours | 72 |
| Course Aims | Numerical and quantitative methods are used extensively in both the academic and real worlds. A major development in financial markets in recent years has been the application by practitioners of methods generated by academics, e.g. the role of the Black-Scholes theorem in the growth of the hugely influential futures, options and swaps markets. Most academic articles and text books use mathematical techniques. The testing of finance and business theory by econometric and statistical methods is universal. The results are used by market participants on a daily basis.
The module is positioned to provide students with early practical exposure to foundation methods that can be further developed and applied in later financial, computational, quantitative and modelling studies. Emphasis will be on the practical application of software models and techniques. An ability to deal with numerical procedures which are facilitated in programmed systems is developed. The skills thus engendered are highly valued by potential employers in the financial and corporate sectors. |
| Course Content | " Data analysis and data presentation. Sources of data in finance.
" Regression and correlation in time series.
" Indexes and their use in financial markets.
" Options, futures, and forwards. General properties. The principle of no arbitrage.
" Probabilistic models of asset price dynamics. The binomial model with applications.
" Calculus and its applications to finance. Black-Scholes model with applications.
" Fixed-income products and analysis. Yield and duration.
" Portfolio management. The Capital Asset Pricing Model.
" Financial engineering. The use of derivatives to manage risk exposure. Hedging and speculation. VaR.
Core Skills ContentNumerical Skills
- The ability to compute, process and present Financial Quantitative information. Diagnostic and Application Skills
- The ability to apply mathematical and quantitative techniques in a real life situation (in the organization and/or agency).
- The ability to identify the salient characteristics of quantitative and market data in decision-making situations.
Analytical Skills
- The ability to analyze and make pricing, statistical inference, research process decisions.
- The ability to examine and interpret numerical and quantitative information.
Problem Solving Skills
- The ability to understand technical terms used in mathematical models, statistical analysis, and quantitative evaluation.
- The ability to identify critical areas so as to allow the application of mathematically oriented quantitative analysis, and to apply the right techniques to resolve the issues in the critical areas and interpret the results. |
| Learning Outcomes | A6; A7; B5; B6; B7; B8; C6; C7; C8; C10; D6; D7; D8 |
| Presentation | The teaching will encompass a mix of formal lessons on framework theory and its implications, and seminar work directed through Moodle, and individual work by the student at his/her own pace. Standard packages are available for student use under guidance.
Seminar Work
The student will be able to prepare the work under guidance before the seminar, and check progress with examples on the web resource. Group work will provide a support to the individual student and also teach the relevance of team working to common problems in analysis and projects.
The module follows student centred learning:
"The student has ownership and responsibility, individually and in groups, for his/her learning, planning and implementation of seminar work and coursework.
"The student is in control of much of the learning process through the management of your preparation, participation in seminars and coursework assignment. (Most of the materials that needed are in the course folder, so that the student can work at his/her own pace - provided deadlines are met. You can go back over the material in your own time).
There is a case or a reading to evaluate most weeks on the topic. Each case is supported by readings on the web resource, which the student can use to broaden his/her knowledge or catch-up with particular mathematics, or calculations.
Quizzes for formative progress assessment and feedback
Quizzes serve to provide feedback to students on their progress, at as early a stage as practicable, on learning, conceptual understanding, aptitude in financial analysis, adaptation (needed for Erasmus students, students with varied educational experience e.g. SPA, backgrounds), and critical analysis. Quiz marks are for feedback purposes only. |
| Reading Recommended | Paul Wilmott (2001) Paul Wilmott Introduces Quantitative Finance, John Wiley & Sons |
| Reading Required | Glyn Burton, George Carrol, and Stuart Wall (2002)"Quantitative Methods for Business & Economics, 2nd edition, FT Prentice Hall |
| Asseseement Methods | The Module Assessment consists of Coursework (50% - comprising 40% written assignment and 10% seminar participation work) and end-of-term exam (50%). |