Registry

Module Specifications

Current Academic Year 2012 - 2013
Please note that this information is subject to change.

Module Title	Securities and Investment
Module Code	EF585
School	DCUBS
Online Module Resources
NFQ level	8	Credit Rating	5
Pre-requisite	None
Co-requisite	None
Compatibles	None
Incompatibles	None

Description

The module aims to introduce students to investment management. To do so, it will familiarize students with a number of securities, especially stocks, currencies and basic types of derivatives contracts, mainly futures and options, explore modern techniques of asset pricing and valuation and illustrate ongoing attempts to develop an integrated theory of investing. The theoretical framework is the ongoing revolution is Finance that is replacing overly stylized asset pricing and investment evaluation models, set in a static and frictionless economy, with richer multi-period and multi-factor models that recognize the complexity of the investment problem.

Learning Outcomes

1. Identify the assumptions and predictions of the main paradigms in modern financial theory
2. Describe the main asset pricing models and infer normative implications, for investment and risk management policies, from the positive predictions of such models
3. Apply asset pricing theory to value stocks and other securities in complete and incomplete markets
4. Identify the implications for investment and risk management of alternative views on market efficiency advocated by the extant literature
5. Debate the extent to which alternative views about market efficiency are supported by the body of evidence produced by the empirical finance literature
6. Solve hedging and risk management problems involving portfolios of securities, such as stocks and currencies, as wells as commodities and derivatives contracts, especially futures and options

Workload	Full-time hours per semester
*Type*	*Hours*	*Description*
Lecture	24	No Description
Tutorial	30	Guided solution of assigned problems and exercises
Seminars	5	Participative attendance of seminars offered by industry experts and/or academics
Group work	36	Assigned readings
Group work	5	Answer assigned problems ("Short answer questions") and present the answer to the class
Independent learning	50	Revision for exam
Debate	2.5	Debate of issues raised by group presentations (on the assigned research papers) and of the proposed solutions to the "Short answer questions" in plenary discussion sessions scheduled to take place at the end of each presentation
Laboratory	2.5	Assisted practice with writing elementary programs (in Visual Basic) and in the creation of MS Excel spreadsheets for financial calculations and analysis
Independent learning time	32	Study of reference material (textbook, lecture notes and relevant academic papers) of weekly lectures
Total Workload: 187

All module information is indicative and subject to change. For further information,students are advised to refer to the University's Marks and Standards and Programme Specific Regulations at: http://www.dcu.ie/registry/examinations/index.shtml

Indicative Content and Learning Activities

Indicative Syllabus.
Revision of basic financial definitions and notions (returns and rate of returns, compounding regimes); revision of basic statistical concepts and notions (returns as random variables, average returns, standard errors of the mean); overview of stylized facts about risk and return of main asset classes; introduction to decision making under uncertainty (theory of choice under uncertainty, investors preferences and alternative specifications of the utility function); overview of the theory of efficient markets (the rational valuation formula, deflated asset prices as martingales);absolute asset pricing/pricing in incomplete markets (rational portfolio choice, the CAPM, multifactor models, behavioral asset pricing, applications to security valuation and performance attribution);relative asset pricing/pricing in complete markets (no-arbitrage pricing, APT, applications to security valuation and performance attribution); financial derivatives (forward contracts, futures, options, uses in investment and risk management problems); pricing and hedging financial derivatives in complete markets (binomial option pricing model, Black & Scholes model, dynamic replication and delta hedging, the â€œgreeksâ€, introduction to volatility trading)..

Assessment Breakdown
Continuous Assessment	25%	Examination Weight	75%

Course Work Breakdown
Type	Description	% of total	Assessment Date
Presentation	In-class presentation devoted to the discussion of academic or technical (policy) papers on topics pertaining to material covered by the course	10%	Every Second Week
Report (s) (written / oral)	Written report to follow the in-class presentation	10%	Every Second Week
Short answer questions	Assigned problems followed by a discussion in class of the proposed solution	5%	Every Second Week

Reassessment Requirement
Resit arrangements are explained by the following categories; 1 = A resit is available for all components of the module 2 = No resit is available for 100% continuous assessment module 3 = No resit is available for the continuous assessment component
This module is category 1

Indicative Reading List

Luenberger, D.G.: 1998, Investment Science, Oxford,
Hull, J.: 2009, Futures, and Other Derivative Securities, 7,
Jackson M. and M. Staunton: 2001, Advanced Modelling in Finance Using Excel and VBA, Wiley,

Other Resources

None

Array

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