Module convenor: Dr Marcel Prokopczuk20 credits

Introduces techniques for analysing and valuing different classes of risky assets. It also develops ways of optimally selecting portfolios of such assets and develops models of how these portfolios may be priced in financial markets. The techniques introduced in this module are widely applied in other elements of the programme. The module includes simulated trading sessions in our state of the art dealing rooms, where participants are introduced to real world pricing and trading strategies (INVEST sessions).

Outline Content: Financial assets and investing in securities markets; Investors and their objectives; Risk and capital allocation; Optimal portfolio selection; Capital asset pricing model; Single index and multifactor models; Arbitrage pricing theory; Derivative securities and the no-arbitrage principle; Forwards and Futures contracts; Simple hedging; Options basic properties and trading strategies.

Available learning modes:

• Full time
• Flexible learning
• Distance learning

Module convenor: Dr Emese Lazar20 credits

The  module will convey the basic concepts and analytical methodology for the valuation of derivatives in the standard Black-Scholes framework.

Outline content:

• Forwards and futures, options, trading strategies, the greeks
• Discrete time valuation
• Continuous time valuation
• Black-Scholes model, properties and extension
• Martingale approach
• Complete and incomplete markets
• Claims on currencies and multiple assets; foreign equity markets
• Selected derivatives

Available learning modes:

• Full time

Module convenors: Dr Emese Lazar  | Mathematics Department  | 10 credits

This module introduces students to the mathematical tools needed for derivatives pricing. Namely, it covers special topics in calculus for finance, optimization and the numerical implementation of the models covered in 'Derivatives Modelling'. It also presents the latest methodologies in calibration and interpolation. The module puts emphasis on presenting the methodologies and the possible applications will also be covered, using computer programmes.

Outline content

• ODE's, PDE's and their application in finance (including the heat equation)
• Transform methods (Laplace, Fourier)
• Optimization, Calibration and Interpolation
• Binomial and trinomial trees, using backward recursion and forward induction
• Finite difference methods for solving parabolic partial differential equations for derivative prices; Random number generation
• Simulation methods; variance reduction methods
• Simulation of stochastic differential equations

Available learning modes:

• Full time

Module convenor: Tobias Kuna10 credits

Introduces students to the mathematical tools of probability and stochastic calculus needed for the valuation of financial derivatives. It also covers the basic concepts and methods of modern probability and stochastic analysis, placing emphasis on the possible applications in finance.

Outline content:

• Probability, random variables, their distributions and characteristics
• Joint distribution, conditional probability and expectation
• Independence
• Law of large numbers and central limit theorem
• Brownian motion
• Martingales
• Ito stochastic integration
• Ito calculus
• Stochastic differential equations used in finance
• Change of probability, change of numeraire and its use in derivatives' valuation

Available learning modes:

• Full time

Module convenor: Dr Ogonna Nneji20 credits

The objective of the module is to give students an introduction to econometrics so that they might understand the analytical techniques used in the finance research literature. Via case studies and computer modelling exercises, students then learn how to apply these techniques to real data. Emphasis is placed on practical applications of the techniques in the global financial markets.

Outline Content

• Simple linear regression
• Hypothesis testing
• Multiple regression: the Classical Linear Regression Model (CLRM)
• Violations of the CLRM assumptions and diagnosis
• Non-stationarity and testing for unit roots
• Cointegration and error correction model
• Economic case studies in finance

Available learning modes:

• Full time
• Flexible learning
• Distance learning

Module convenors: Dr Alfonso Dufour  | Professor Brian Scott-Quinn  | 20 credits

Provides knowledge of global financial markets, the importance of liquidity, the distinction between exchange versus OTC markets, primary and secondary markets and the role of intermediaries in their various forms. Participants will gain an understanding of: international stock and bond markets, repo markets (for borrowing/lending on a secured basis); an introduction to foreign exchange and money markets, and to futures markets (which are developed in more detail in optional Part 2 modules); finally specific markets for commodity and energy are studied in more detail.

Outline content

• General introduction to world financial markets
• Liquidity, the distinction between exchange versus OTC markets and the role of intermediaries in their various forms
• Short-term debt securities issued by government and corporations
• Classification of bonds according to issuer: government, agencies, corporate and municipa
• Comparison of bond markets in major countries and a description of the main intermediaries and their role
• Foreign exchange market, quotation conventions, types of brokers, central banks? policies
• Primary and secondary stock markets
• Futures markets
• Commodities markets
• Energy markets.

Available learning modes:

• Full time
• Flexible learning
• Distance learning

Module convenor: TBC10 credits

Designed for future quants and financial engineers to introduce them to the main types of problems they will be asked to solve and to make them aware of the range of issues they will have to consider. Financial engineering is the art of designing and implementing innovative solutions to financial problems. This course explores a number of typical problems faced by both financial and non-financial institutions for which a range of solutions, often using derivative products, is possible. In each case we examine the feasibility and relative advantages and disadvantages of alternative solutions, taking into account legal, accounting, tax and regulatory matters as well as risks and returns. By the end of the module, it is expected that students will have reached:

• A working understanding of main types of derivative and hybrid instruments (equity swap, interest rate swaps, options, convertibles, CDSs, CDOs)

•  An awareness of the legal, tax, accounting and regulatory environment in which these instruments may be used

• An understanding of the main types of financial problems face by firms in fund raising, creation of capital, merger and acquisition, long term investments, risk management and incentive schemes

• A working knowledge of pricing and evaluation methods for derivative products

 

Outline Content

• Facilitation of acquisition and disposal of shares, preparation for mergers – Equity swaps, CVRs and quantity options
• Tax efficient structures and strategies – Long term investment products, tax efficient financing, executive incentive schemes
•  Creation of cheap Tier 1 and upper Tier 2 capital for banks – Convertibles and other hybrids
• Market risk management – Index linked structured products, overlay strategies, dynamic control strategies
• Credit risk management – credit risk protected loans, CDSs and securitization

Available learning modes:

• Full time

Module convenor: Dr Emese Lazar20 credits

Introduces the models and pricing methodologies characteristic for three markets, namely equity and foreign exchange, interest rate and credit derivatives markets. For the equity and foreign exchange derivatives markets, it aims to introduce models beyond Black-Scholes to price non-vanilla instruments. For interest rate derivatives markets arbitrage-free term structure models are considered. For credit derivatives, we introduce the default intensity approach for the valuation of single name default swaps and the pricing of OTC derivatives in the presence of counterparty risk.

Outline content:

• I. Equity and FX derivatives

1. a. Products (non-vanilla):

Terminal payoffs which depend only on the distribution of the underlying at expiration, Mildly path-dependent payoffs which depend on forward distributions (or conditional distributions) of the underlying, Strongly path-dependent payoffs which depend on the full dynamics of the underlying.

• b. Models:

Pricing with implied risk-neutral distributions, Local volatility models, Stochastic volatility models, mainly Heston model.

• II. Interest rate derivatives
• a. Products:

Caps/floors, Swaptions, Exotics

• b. Models:

Models that assume one discount curve and multiple index curves, HJM (Heath-Jarrow-Morton) modelling framework in the presence of stochastic tenor basis, Two of the most widely used HJM models: Gaussian and Squared gaussian models, Basic LIBOR market model

• III. Credit derivatives
• a. Products:

Credit default swaps (CDS), Quanto CDS, OTC portfolio (CVA)

• b: Models:

Hazard rate models

Available learning modes:

• Full time

Module convenor: Dr Konstantina Kappou10 credits

The module provides an introduction to the basic techniques employed in Financial Engineering. Students will understand how these methods can be applied to design securities with desired payoff characteristics. They will be able to evaluate complex securities by means of reverse engineering and be aware of possible problems when these methods are applied in real world situations. Outline content: Introduction to Financial Engineering, cash flow engineering, basic financial products, interest and forward rates, no-arbitrage and the law of one price; Pricing and hedging by replication, major interest rate (IR) swap structures, IR swaps, currency forwards and cross currencies FX-swaps, options; Structured products, introduction and evaluation; Dynamic strategies for hedging and principal protection; Credit markets: CDS engineering, credit indices and CDO's.

Available learning modes:

• Full time
• Flexible learning

Module convenor: Dr Nicholas Zhiyao Chen20 credits

This module is designed for advanced Master’s students and doctoral students. It has a very high technical content. It aims to equip the students with the foundations of theoretical asset pricing and with the relevant skills for performing empirical tests. Additionally, a few important corporate finance topics will be covered in the format of student presentations. The objective of the module is to prepare students to become independent and quality researchers.

Available learning modes:

• Full time
• Flexible learning

Module convenor: Dr Andy Bevan20 credits

The main aims of the module are to identify the fundamental determinants of short- and long-term interest rates, learn how to monitor developments in interest rate markets and employ commonly used trading strategies. The course will be based around the work of a research department in an investment bank when formulating strategy for its proprietary trading desk and hedge fund customers. Each lecture will provide: (1) a concise outline of economic theory, (2) practical examples of events in markets from recent years, and (3) identification of trading strategies. Seminars will focus on market pricing conventions and worked examples. By the end of the module it is expected that students will:

• Be aware of the main aspects of the economic theories of the determination of interest rates and corporate credit spreads
• Be capable of analyzing economic situations to determine the likely implication for various assets in the interest rate markets
• Be familiar with the principal strategies used in trading short rates, long rates and credit spreads

Outline content

• Flow of Funds and the Economics of Interest Rates
• Monitoring Central Banks and the Determination of Short Rates
• Pricing and Trading of Short Rate Instruments
• Fundamentals of Bond Pricing, Duration and Convexity
• Fitting the Yield Curve and Theories of the Term Structure
• Trading of Bonds, Bond Forwards and Futures
• Pricing and Trading of Interest Rate Swaps
• Default Risk and Corporate Bond Spreads
• Corporate Bond Spreads Through the Business Cycle
• Pricing and Trading of Credit Default Swaps

Available learning modes:

• Full time
• Flexible learning
• Distance learning

Module convenor: Dr Konstantina Kappou10 credits

This module aims to provide students with a detailed knowledge of the Commodity Derivatives Markets. It examines the aspects of pricing and trading physical derivatives, with emphasis on the Energy and Shipping (Freight) sectors. The course is designed using real trading examples, stimulating students, who want to follow a Sales and Trading Career in Investment Banking, to approach derivatives pricing from first principles.

Outline: Introduction to Commodity Markets (History and Evolution, Energy Products, Base Metals, Soft Commodities), Main Market Players and the Forward Curve (Basis Risk, Commodity Futures and Options, Exchanges and OTC markets), Pricing of Commodity Derivatives (Swaps, Options and Structured Trades), The Oil Market and its Mechanisms (OPEC and DOE, Crude Supply and Demand, Inventories, Crude Products and Crack Spreads, Refineries and Margins, Main Energy Derivatives strategies), The Freight Market and its Mechanisms (The Baltic Exchange and the Shipping Industry, Forward Freight Agreements, Trading Freight Derivatives)

Available learning modes:

• Full time
• Flexible learning

Module convenor: Dr Carol Padgett20 credits

The objective of the module is to introduce students to the main financial decisions taken by companies, examining how those decisions influence the market's valuation of companies. Outline content: The corporate form and initial public offerings, Valuation: management and measurement of value, Capital budgeting: decisions on fixed assets, Treasury function 1: working capital management and risk management, Treasury function 2: new issues, Treasury function 3: capital structure continued, Dividend policy: dividends and share repurchases, Mergers and acquisitions, De-mergers and leveraged transactions, Bankruptcy.

Available learning modes:

• Full time
• Flexible learning
• Distance learning

Module convenor: Dr Michael Smith20 credits

The module objective is to give students a practical working knowledge of the pricing, hedging and trading of derivative securities, in particular options, via the use of trading simulations and pricing case studies/software. The emphasis of the module is on practical application and it is expected that by the end of the module students will understand and be able to analyse the time/risk dynamics of derivatives in a trading environment. By the end of the module, it is expected that the student will be able to

• Explain the underlying principles of option pricing models and thereby price options

• Analyse the fundamental risk exposures associated with any derivatives portfolio

• Interpret the different volatilities associated with options and implement successful volatility trading strategies

• Understand and be able to implement hedging strategies in the face of changing market conditions

Outline content

• Review of Option Basics

• Option Pricing
• Option Price Sensitivities: Risks and Trading Applications
• Volatility
• Volatility Smiles
• Trading Strategies
• Currency Options

Available learning modes:

• Full time
• Flexible learning
• Distance learning

Module convenor: Dr Alfonso Dufour20 credits

Building on the material introduced in Quantitative Methods for Finance, this module examines a number of additional techniques that are relevant for financial applications, and in particular for modelling and forecasting financial time series. An introduction to the methods of maximum likelihood estimation and Generalised Method of Moments will be given, and emphasis will be placed on modelling high-frequency data. Case studies from the academic finance literature are employed to demonstrate potential uses of each approach. Extensive use is also made of financial econometrics software to demonstrate how the techniques are applied in practice. By the end of the module, it is expected that the student will be able to

• Describe, estimate and evaluate a number of different approaches for modeling financial data with particular emphasis on trade data

• Determine the appropriate class of models to address a particular problem in empirical finance

• Compare and contrast a number of methods for modeling and forecasting the volatility of financial time series

• Write programs in a statistical software package in order to achieve particular tasks that cannot be accomplished using built-in functions

• Comprehend and critically evaluate the use of econometrics in the published academic finance literature

 

Outline content

• Stylised characteristics of financial data
• Ordinary Least Squares (OLS)
• Relaxing the OLS assumptions
• Simultaneous equations models
• Vector autoregressive models
• Cointegration
• Maximum Likelihood estimation method
• Panel data analysis
• Simulations methods in econometrics and finance

Available learning modes:

• Full time
• Flexible learning
• Distance learning

Module convenor: Mr Richard Comotto20 credits

The basic aim of this module is to equip students with a firm understanding of the overall function, structure and operation of the FX and short-term interest rate markets. This will not only provide the technical knowledge required to trade in and manage the risk in those markets, but will also introduce and illustrate a number of key practical issues relevant to all financial activity, such as balance sheet constraints, risk capital, liquidity and funding issues, and concepts such as the nature of derivatives, OTC markets and MTFs, regulatory arbitrage, netting, fair v market value, basis risk. It aims to demonstrate that there is a small body of arithmetic that applies across the board to all instruments. The Learning Outcomes of this module are:

• To define the economic function of the FX and money markets.

• To describe, compare and contrast cash and derivative FX and money market instruments in terms of their structure, operation, application, type of user and risk/return characteristics.

• To apply a common body of financial arithmetic to the pricing and valuation of all cash and derivative FX and money market instruments.

• To demonstrate how instruments can be use to take risk outright or in spread/basis trades against other instruments, to hedge or synthesise each other, and to exploit arbitrage opportunities.

• To demonstrate the economic relationship between cash and derivative FX and money market instruments

 

Outline content

• The functions of the money market with basic trading strategies.
• Common concepts and consistent application of money market arithmetic.
• Traditional cash instruments: deposits, Treasury bills, CP, CD, repo. Key rates: LIBOR/EURIBOR, EONIA/etc.
• Interest rate risk in the money market. Cash rates, forward rates and the forward curve
• Money market derivatives: FRA. The mechanics of FRAs: early payment and discounting of the settlement amount
• Money market derivatives: money market futures. Market structure and contract specification. Using futures to take outright and spread risk. Using futures to hedge: the problem of basis risk.
• Money market derivatives: interest rate swaps. Mechanics. OIS.
• Exchange rate conventions. The FX market. Forward FX: pricing, hedging. FX swaps.

Available learning modes:

• Full time
• Flexible learning

Module convenor: Professor William Ziemba10 credits

Outline content:

• The historical record of stocks, bonds, currencies, gold, etc over the past 100+ years and in the key countries, the US and China: Measuring worldwide risk attitudes, An example of investing in other (non exchange traded) equity assets: the Yale University multi-strategy endowment approach, Prediction markets
• Incentives and risk taking behaviour in hedge funds: the evaluation of regular hedge funds, Can you beat the stock market: the various camps according to WTZ, Arbitrage and risk arbitrage.
• How to evaluate great investors: the downside symmetric Sharpe ratio, Can we predict stock market crashes? The bond-stock earnings yield model
• An attempt to understand the 2007-2009 crash and future scenarios for the recovery, Why did the market crash? Excess derivatives, excess leveraging, excess real estate prices fueled by reckless lending, Why the markets were rallying starting in March 2009 while the economy is still so weak.
• An assessment of the performance and predictive ability of various stock market anomalies 1993-2010 and 2004-2010: what worked and what did not.

Available learning modes:

• Full time

10 credits

International Securities Markets applies general valuation risk assessment methods to: fixed income securities, derivatives and markets. It describes the basic characteristics of each fixed-income security, cash and underlying, and develops practical strategies for finding its value and assessing its risk. It also considers how the markets for these securities are related and begins the task of showing how these relationships can be exploited for trading or investment. The analytical techniques introduced in this module are very applied to allow the successful candidate to apply directly to industry the more theoretical market valuation and risk models learned in other core modules taken in the first term.

Outline: FIxed income Analysis, Rates Trading and Hedging I, Rates Trading and Hedging II, Credit Analysis and Products I, Credit Analysis and Products II

Available learning modes:

• Full time
• Flexible learning
• Distance learning

Module convenor: Dr Alfonso Dufour10 credits

The evolution of algorithmic trading, the proliferation of alternative trading platforms for trading the same security and the development of new products and assets with limited liquidity have contributed to raising the awareness of academics and traders on the importance of understanding and properly managing liquidity and execution risks. The objective of this course is to give students an introduction to liquidity and execution risks and an overview of the methods for managing these risks. The issues discussed in this course are important when developing trading strategies, valuing portfolios, liquidating large positions and transitioning assets to new investments. By the end of the module, it is expected that the student will be able to

• Explain the concepts of high frequency trading and algorithmic trading.
• Identify the characteristic elements of alternative algorithmic trade execution strategies
• Explain how to measure and manage trade execution risk and compute liquidity adjusted VaRs
• Solve simple trade execution problems and develop optimal execution strategies
• Understand the impact of recent regulatory changes on the market and market players

Outline content

• Introduction to the Security trading industry. Algorithmic Trading. Liquidity and liquidity risk. Liquidity suppliers.
• An example of algorithmic execution strategy: VWAP
• Transaction Cost Analysis (TCA). A framework for measuring and managing trade execution costs.
• Optimal execution strategies and liquidity adjusted value at risk of asset holdings
• Understanding, modeling and predicting execution risk
• MiFID and Reg-NMS. Recent regulatory trends and expected impacts on markets (competition, transparency and best execution)

 

Available learning modes:

• Full time
• Flexible learning

Module convenor: Mr Keith Dickinson10 credits

Managing Securities Operations is learning about and applying the concept of Operations Management to a financial institution. The course combines teaching about both the technical aspects of securities operations management and theoretical aspects of managing the risks inherent in such as business. It also serves as a base for those interested in further study in operational risk management. The analytics techniques taught in this course serve to synthesise much of the material being taught in the first term core topics of products, markets and institutions by learning how to apply them with regard to management theory. By the end of the module, the student will be able to: Understand how the various securities and derivatives taught in first term courses are traded and operationally managed in a financial institution; they will be introduced to Operations Management theory and how it is applied in a financial institution; they will learn and understand about the many operational market intermediaries that are essential for the investment and trading of securities; they will learn to create and manage securities databases; they will reinforce their knowledge about securities pricing and the various legal and market practices that impact settlement prices; they will understand the full “life cycle of a trade” and how it is managed at a senior management level. They will be introduced to the many and varied new regulatory frameworks being incorporated into the market (Basle II, etc.).

Outline content

• Essential operational management concepts

• The operational structure of a securities trading organisation
• The many types of securities transactions
• Understanding the trade life cycle - post trade
• Understanding the trade life cycles - funding
• Operational risks and how to manage them.

Available learning modes:

• Full time
• Flexible learning

Module convenor: Dr Emese Lazar20 credits

This module provides an understanding of the Value-at-Risk (VaR) framework for market risk assessment and control. The module has a significant practical component with computer-based workshops that are designed to support the lecture material. By the end of the module, it is expected that students will:

• Understand the latest developments in banking regulations that are the main driving force behind changes in our approaches to risk measurement

• Outline the foundations of market risk analysis and the basic models for assessing market risk

• Describe the market risk measurement techniques that are used daily in the front and middle offices of banks; particular emphasis is placed on the appraisal of the covariance matrices that are used to measure the market risk of portfolios

• Be able to build various Value-at-Risk (VaR) models for market risk for international portfolios of equities, FX, interest rate products, commodities, derivatives etc.

Outline content

• The characteristics of markets and market risk

• Capital requirements & RAPM
• Value at Risk models
• Advanced VaR models
• Applications to Equities
• Applications to Foreign exchange
• Applications to Interest rate products
• Applications to Derivatives
• Applications to Fund management, banking & non-financial firms

Available learning modes:

• Full time
• Flexible learning
• Distance learning

Module convenor: Miss Deepa Govindarajan10 credits

This 10-credit optional module will provide and overview and understanding of purpose and operation of financial regulation, and the consequences of reform for different markets, including those of the students' home country. The module aims to deliver a broad insight into the key challenges for regulation within the financial sector and approaches to enhanced regulation of the financial sector. We will challenge current and past thinking on regulatory structures and concepts especially in the context of the recent financial crisis, which provides us with a rich source of information on the pros and cons of various options. We will examine the risks and issues different stakeholders confront when interacting with financial firms. Through these topics we will examine how financial firms should be regulated. In parallel we will set out the historical context and theoretical basis of regulation. We also look at the practicalities of regulation and the roles of various key regulators both domestically and internationally. This includes the Basel Committee, EBA, EIOPS and ESMA, national regulators (both in the developed and the developing world), sector regulators for banking, insurance, asset management and securities, the European Commission and others. We will then evaluate how regulation helps address risk and ensure stakeholder interests are given due protection. We will also study the impact on the compliance and risk management functions within financial firms. One of the key aims is to provide students with the broader regulatory skills and knowledge required to work within the financial services industry. We will also aim to gain an understanding of the role and working of risk management, compliance, internal audit and allied functions in financial firms. The module will include a discussion of:

• Regulatory Objectives
• Structure and nature of regulators - the theory of regulation
• Regulatory context - the crisis
• Regulatory strategies - what are we trying to legislate for
• Regulating risk - Prudential and conduct of business issues
• Governance and culture
• Systems and control
• Regulation today and regulatory objectives
• Compliance, risk management, audit and finance - roles and responsibilities
• Can regulators rely on these functions - how to test their efficacy
• The Challenges ahead

  Key regulatory initiatives studied include:

• Dodd-Frank
• Basel 2 and beyond
• Solvency 2
• UCITS
• MiFID
• PSD

Available learning modes:

• Full time
• Flexible learning
• Distance learning

Module convenor: Professor Charles Sutcliffe20 credits

This is an applied course with little quantitative content. It deals with one of the most important group of institutional investors – pension schemes, focusing on occupational pension schemes. Pensions are in a state of crisis and change, and have become the subject of popular debate and controversy. They employ fund managers to invest many £trillions on their behalf. Developing countries, such as China and India, have the potential for an enormous expansion of their pension schemes. Therefore the assets under management of pension schemes globally are likely to increase considerably. The investment of pension funds requires an understanding of how pension schemes work, which his hard to acquire as it has not been taught by educational establishments. This module will provide a detailed knowledge of a major group of institutional investors (pension schemes) and the real problems they face.

Available learning modes:

• Full time
• Flexible learning

Module convenor: Dr Ioannis Oikonomou20 credits

The module aims to build on the techniques for portfolio selection that will have been introduced in the Valuation of Securities module. The module will address both the theory and practice of portfolio management.

• The theoretical part will examine the issues involved in constructing an investment portfolio, evaluating the performance of that portfolio, and adjusting its composition through time to ensure that its performance remains optimal. It will also consider the use of derivatives in managing risk.

• The practical part will provide students with hands-on experience of constructing and managing an equity portfolio.

Outline content

• Diversification

• Financial instruments and markets
• Passive asset allocation
• Active portfolio management
• Equity analysis
• Bond analysis
• Derivatives for fund management (forwards/futures/swaps/options)
• Hedging/ portfolio insurance
• Investment strategies/ Performance measurement
• Fund management in practice

Available learning modes:

• Full time
• Flexible learning
• Distance learning

Module convenor: Professor Charles Sutcliffe20 credits

The aim of the research project is to allow students to define and execute a piece of research in finance on a topic of their choice, with direction from an academic supervisor and with assistance from a doctoral student support supervisor. The Learning Outcomes of this module are:

• Successful completion of the research project requires students to define and execute a piece of research in finance.
• They will be required to seek out and to critically evaluate published literature in a particular field.
• Students will improve their report-writing skills, learning how to structure their study, and how to place their findings in the wider context

 

Available learning modes:

• Full time
• Flexible learning
• Distance learning

Module convenor: Professor Charles Sutcliffe10 credits

This module covers the construction of stock market indices, how futures are traded, pricing futures from an arbitrage relationship, how futures can be used for hedging the price risk of the underlying, and the various uses that fund managers make of these derivative instruments. By the end of the module it is expected that students will be aware of the different ways of constructing stock market indices and the implications of these differences, how futures contracts are traded and the identity of some of the close substitutes for trading index futures, how futures can be priced using an arbitrage relationship, how futures can be used for hedging the price risk of the underlying, and the various uses that fund managers make of these instruments.

Outline content

• Introduction to Trading Stock Index Futures
• Arbitrage and the Valuation of Stock Index Futures
• The Basis and Spread Trading of Stock Index Futures
• Hedging Using Stock Index Futures
• The Uses of Stock Index Futures by Fund Managers

Available learning modes:

• Full time
• Flexible learning

Module convenor: Volker Nienhaus10 credits

Provides students with the opportunity to study the juristic basis of Islamic finance, and the nominate contracts that are set out in Islamic commercial jurisprudence (the Fiqh al Muamalat). Students will develop an understanding of the principles of Islamic jurisprudence and its nominate contracts, and how these are applied in Shari’ah compliant financial products and services.

Outline content:

• The origins of Islamic commercial jurisprudence
• Prohibitions to be respected in order for Islamic contracts to be valid:
• Avoidance of riba (pure return on money), maysir (speculation), and gharar (uncertainty or ambiguity of subject matter)
• The frequently used nominate contracts
• Overview of Islamic financial products and their basis in nominate contracts (see Module 255)
• ShariÂ’ah governance of Islamic financial institutions
• The IFSB Guidelines on ShariÂ’ah governance

  Available learning modes:

• Full Time

Available learning modes:

• Full time

Module convenor: Professor Adrian Bell10 credits

This module aims to provide students with an understanding of the origins of Financial Markets, and with a broader appreciation of the early development of products and innovations in Finance - which many assume are recent twentieth century inventions. By the end of the module it is expected that the student will be able to:

• Identify and explain key issues and events in the History of Finance

• Acquire a detailed knowledge of the events through extensive reading in specialised literature

• Locate and assemble information on the subject by independent research

• Appraise critically the primary sources and historical interpretations of the subject

• Organise material and articulate arguments effectively in writing, both under timed conditions and in assessed essays.

 

Outline content

The module will focus on topics that can throw light on the development of financial markets over time. It is not restricted by date, but will draw mainly upon Medieval Europe for its focus. Topics will include:

• Forward Contracts for the supply of Wool in the 13th Century
• Early Italian Merchant Banks - Riccardi, Bardi
• The English Company of 1339
• The South Sea Bubble - John Law
• War Finance
• Tulip Mania

Available learning modes:

• Full time
• Flexible learning