Module Identifier ACM2020  
Module Title ADVANCED FINANCE  
Academic Year 2002/2003  
Co-ordinator Huw P Rhys  
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   2 Hours   60%  
  Semester Assessment   assessed essay   40%  

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.

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.

Reading Lists

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