Module Identifier ACM2020  
Module Title ADVANCED FINANCE  
Academic Year 2001/2002  
Co-ordinator To Be Arranged  
Semester Semester 2 (Taught over 2 semesters)  
Pre-Requisite Registered as MSc Accounting and Finance  
Course delivery Lecture   2 lectures per week over semester 1 and 2  
  Seminars / Tutorials   2 seminars per week over semester 1 and 2  
Assessment Semester Exam   3 Hours   80%  
  Semester Assessment     20%  

Aims


The module is an advanced level study of finance. The module is a restructed version of an existing MSc Accounting and Finance module and will be core on the revised MSc Accounting and Finance scheme. The module will not be available to students registered on other degree schemes.

Brief description


The module is concerned with the design and valuation of financial securities under both conditions of (certainty) and uncertainty in state preference and continuous-time stochastic calculus settings.

Learning outcomes


On completion of this module students should be able to critically evaluate (1) inter-temporal consumption – investment theory under both conditions of certainty and uncertainty; (2) the use of state-preference theory on the construction of hedging and the valuation of derivative securities; and (3) the use of state preference theory and continuous time models in the design and validation of financial securities.

Reading Lists

Books
Merton, R.. (1992) Continuous Time Finance. Robert C Merton
Duffie, D.. (1996) Dynamic Asset Pricing Theory. Princeton University Press