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Durham University

Postgraduate Modules 2019/2020

Module Description

Please ensure you check the module availability box for each module outline, as not all modules will run in each academic year. Each module description relates to the year indicated in the module availability box. Please be aware that modules may change from year to year, and may be amended to take account of, for example: changing staff expertise, disciplinary developments, the requirements of external bodies and partners, and student feedback.

No such Code for pgprog: L1K209
No such Code for pgprog: L1K309
No such Code for pgprog: L1K709
No such Code for pgprog: L1K809
No such Code for pgprog: L1K609
No such Code for pgprog: L1K509
No such Code for pgprog: L1K109

Department: Economics and Finance

ECON41215: ADVANCED FINANCIAL THEORY

Type Tied Level 4 Credits 15 Availability Available in 2019/20
Tied to L1K209
Tied to L1K309
Tied to L1K709
Tied to L1K809
Tied to L1K609
Tied to L1K509
Tied to L1K109
Tied to N3K109 Finance
Tied to N3K209 Finance (Accounting and Finance)
Tied to N3K309 Finance (Corporate and International Finance)
Tied to N3K409 Finance (Finance and Investment)
Tied to N3K509 Finance (International Money, Finance and Investment)
Tied to N3K609 Finance (International Banking and Finance)
Tied to N3K709 Finance (Economics and Finance)

Prerequisites

  • One module at a level equivalent to a second year British Honours Degree standard, covering statistics and in particular covering at least probability theory and distributions as well as hypothesis testing.

Corequisites

  • Econometrics I (ECON41515) OR Econometric Methods (ECON47815)

Excluded Combination of Modules

  • None

Aims

  • to provide a rigorous training in the theory of modern finance at an advanced level and a thorough synthesis of the most important current research in finance, with an emphasis on the applications of the principles.
  • to provide students with an advanced understanding of normative and positive research in financial theory, together with supporting descriptive and empirical evidence.

Content

  • Students are exposed to the frontier of theoretical and applied research in the module, as well as seminal papers. Topics are indicatively covering:
  • The Role of Financial Theory and undertaking research in Finance;
  • Capital Markets, Consumption and Investment;
  • The Theory of Choice under Uncertainty and Valuation Theories;
  • Portfolio Theory;
  • Equilibrium Asset Pricing Models I - CAPM and its recent developments;
  • Equilibrium Asset Pricing Models II – tests of the CAPM; ICAPM and CCAPM;
  • Equilibrium Asset Pricing Models III – APT and its testing;
  • Capital Market Efficiency, Market Anomalies and Behavioural Finance;
  • Pricing of State Contingent Claims, the Arbitrage Theorem and Continuous Time Valuation;
  • Derivative Instruments and Option Valuation.
  • Within topics, research questions and hypotheses in finance are posed. Guidance is provided on how to methodologically approach these questions by using the theoretical and empirical research techniques presented in the lecture. In the context of each lecture, students are provided with hands-on guidance on how to access relevant literature and data sources and on the methodological approaches they need to undertake in order to address these questions. Students use library facilities in reviewing the research literature in finance, in particular for student participation in seminars.

Learning Outcomes

Subject-specific Knowledge:
  • have advanced knowledge and critical understanding of essential components of modern finance theory and associated current research;
  • have explored, understood and appreciated the complexity and contradictions of the current academic literature and its implications for professional practice, and be able to identify open questions for their own research, making use of available facilities;
  • have the ability to learn and work independently in finance, exercising critical judgement and discrimination in the resolution of complex problematic situations, including appropriate techniques of analysis.
Subject-specific Skills:
  • be able to use highly specialised and advanced technical, professional and academic research skills in the analysis of relevant specific problems in finance;
  • be able to apply problem solving and analytical skills of research to issues in finance in a complex specialised context.
Key Skills:
  • Written Communication;
  • Planning, Organising and Time Management;
  • Problem Solving and Analysis;
  • Using initiative;
  • Numeracy;
  • Computer Literacy.

Modes of Teaching, Learning and Assessment and how these contribute to the learning outcomes of the module

  • A combination of lectures, seminars and guided reading will contribute to achieving the aims and learning outcomes of this module.
  • The summative written examination will test students' knowledge and critical understanding of the material covered in the module, their analytical and problem-solving skills.
  • The formative assessment consists of 25 theoretical and computational problems and is given to students after the first five weeks of the course. The formative assessment is administered electronically on DUO and allows students to receive timely feedback on their work in order to identify areas of individual strengths and weaknesses.

Teaching Methods and Contact Hours

Activity Number Frequency Duration Total/Hours
Lectures 9 1 per week 2 hours 18
Seminars 4 fortnightly 1 hour 4
Preparation & Reading 126
Revision Session 1 2 hour 2
Total 150

Summative Assessment

Component: Examination Component Weighting: 100%
Element Length / duration Element Weighting Resit Opportunity
Written examination 2 hours 100% Same

Formative Assessment:

The formative assessment consists of 25 theoretical and computational problems and is given to students after the first five weeks of the course. The formative assessment is administered electronically on DUO and allows students to receive timely feedback on their work in order to identify areas of individual strengths and weaknesses.


Attendance at all activities marked with this symbol will be monitored. Students who fail to attend these activities, or to complete the summative or formative assessment specified above, will be subject to the procedures defined in the University's General Regulation V, and may be required to leave the University


    If you have a question about Durham's modular degree programmes, please visit our User Guide. If you have a question about modular programmes that is not covered by the User Guide, or a query about the Postgraduate Module Handbook, please contact us using the Comments and Questions form below.