Registry

Module Specifications

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

Module Title	Financial Economics II
Module Code	MS428
School	School of Mathematics
Online Module Resources
Module Co-ordinator	Semester 1: Colm Fitzgerald Semester 2: Colm Fitzgerald Autumn: Colm Fitzgerald
NFQ level	8	Credit Rating	7.5
Pre-requisite	None
Co-requisite	None
Compatibles	None
Incompatibles	None

Description

Students will learn how to use standard financial economic methods for investment decisions and option pricing in a continuous time setting. The methods include Black-Scholes option pricing, alternative asset pricing models, and interest rate models. Additionally, this know-how and skills module gives an introduction to credit risk models.Students will participate in the following learning activities:Lectures: Students will attend a series of lectures designed to introduce learners to the mathematical principles and techniques that underpin this module.Tutorials: Students will cover past exam papers and solutions along with examination answering techniques

Learning Outcomes

1. Be able to describe, discuss and explain the topics in subject CT8 of the Institute of Actuaries along with performing basic calculations to apply the theories covered
2. Be able to discuss the relative merits of the CT8 material from a real-world financial markets perspective

Workload	Full-time hours per semester
*Type*	*Hours*	*Description*
Lecture	36	No Description
Tutorial	12	Presenting tutorial questions which have been solved by the group
Independent learning time	140	No Description
Total Workload: 188

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

Financial Economics.
Units 8 and 10 to 15 of the Core Reading of the Institute of Actuaries.

Assessment Breakdown
Continuous Assessment	25%	Examination Weight	75%

Course Work Breakdown
Type	Description	% of total	Assessment Date
Group project	Carrying out financial economics calculations in MS Excel and to producing an associated discussion in Word in a professional format	25%	Sem 2 End

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 3

Indicative Reading List

Ralf Korn and Elke Korn: 2001, Option Pricing and Portfolio Optimisation – Modern Methods of Financial Mathematics, AMS,
Riccardo Rebonato: 2004, Volatility and Correlation: the Perfect Hedger and the Fox, John Wiley & Sons, Chichester,
John C. Hull: 2006, Options, Futures, and other Derivatives, 6th, Pearson Prentice Hall, Upper Saddle River,
Tomas Björk: 2004, Arbitrage Theory in Continuous Time, 2nd, Oxford University Press, Oxford,
Desmond J. Higham: 2004, An Introduction to Financial Option Valuation, Cambridge University Press, Cambridge,
Kerry Back: 2005, A Course in Derivative Securities, Springer, Berlin,
Jim Gatheral: 2006, The Volatility Surface: A Practitioner's Guide, John Wiley & Sons, Hoboken, New Jersey,

Other Resources

None

Array

Programme or List of Programmes

ACM

BSc Actuarial Mathematics

BSSA

Study Abroad (DCU Business School)

BSSAO

Study Abroad (DCU Business School)

ECSA

Study Abroad (Engineering & Computing)