Saturday, January 31, 2004

The Coming MSc Courses

EC907-G-AU: ECONOMICS OF FINANCIAL MARKETS

Year: 2003/4.
Department: Economics.
Essex credit: ECTS credit: 0
Pre-requisites: Scheme entry requirements
Co-requisites: None
Staff
Course supervisor: Dr. Sheri Markose
Teaching staff: Dr. Sheri Markose
Contact details: For further information, send a message to pgecon[at]essex.ac.uk
Course is taught during the following terms:
Autumn: ◎ Spring: ○ Summer: ◎

Course Description
This course studies the notions of risk and return in equity markets in the context of asset pricing and in the management of equity portfolios. Special attention is paid to aspects of portfolio insurance. Topics covered include the foundations of modern finance based on expected utility theory; the capital asset pricing model; arbitrage pricing theory; options pricing; and dynamic hedging strategies. The implication for risk neutral pricing of options is also reviewed in the case when asset prices are not martingale or martingale-equivalent processes.

The main objective of the course is to emphasise how the principles of modern finance and the development of derivative instruments have revolutionised portfolio hedging techniques. Caveats are, however, noted in the case when asset prices are not martingale or martingale-equivalent processes. Upon successful completion of the course students will have enhanced their capabilities to conceptualise and critically evaluate technically demanding concepts.

Learning and Teaching Methods
One 2 hour lecture and 1 hour class per week .

Assessment:
Whichever is the Greater: EITHER 50 percent CourseWork Mark, 50 percent Exam Mark OR 100 percent Exam Mark

Other information:
Compulsory for:
MSc in Financial Economics and Econometrics, MSc in Financial and Business Economics, MSc in Accounting and Financial Economics

Bibliography:
Copeland, T E and J F Weston, Financial Theory and Corporate Policy, 3rd edition, Addison Wesley 1988. Baxter, M. and Rennie, A. Financial Calculus, Cambridge University Press, 1999. Campbell, J Y, A W Lo and C MacKinley, 1997. The Econometrics of Financial Markets, Princeton University Press, Selected Chapters on CAPM, APT and Derivative Pricing Models..


EC908-G-SP: TOPICS IN FINANCIAL ECONOMICS

Year: 2003/4.
Department: Economics.
Essex credit: ECTS credit: 0
Pre-requisites: Scheme entry requirements
Co-requisites: None
Staff
Course supervisor: Dr J. Ejarque
Teaching staff: Dr J. Ejarque
Contact details: For further information, send a message to pgecon[at]essex.ac.uk
Course is taught during the following terms:
Autumn: ○ Spring: ◎ Summer: ◎

Course Description
This course covers various topics in capital budgeting, corporate finance and banking. The course uses the original results of Modigliani and Miller on the irrelevance of the gearing (leverage) of firms as a benchmark to study the recent work emphasising the role of asymmetric information and the effects of separation between ownership and control on financial decisions made by firms. Other topics covered in the course include capital budgeting, the design of financial securities, bankruptcy and financial distress, mergers and acquisitions, and the role of bank lending.

Upon successful completion of this course students should have acquired an understanding of the economics of uncertainty and information as applied to corporate finance. They should be able to apply analytical reasoning to problems in financial economics and to evaluate the models, and be able to conceptualise and understand phenomena in actual financial markets in terms of these models. Students who opt to submit term papers will also have the opportunity to demonstrate their ability to develop an economic argument based on independent inquiry by surveying the relevant literature on financial markets.

Learning and Teaching Methods
One 2 hour lecture per week.

Assessment:
Whichever is the Greater: EITHER 50 percent CourseWork Mark, 50 percent Exam Mark OR 100 percent Exam Mark

Other information:
Compulsory for:
MSc in Financial Economics and Econometrics, MSc in Financial and Business Economics, MSc in Accounting and Financial Economics

Bibliography:
JoÒo Amaro de Matos, Theoretical Foundations of Corporate Finance (Princeton University Press)


EC933-G-SP: INTERNATIONAL FINANCE

Year: 2003/4.
Department: Economics.
Essex credit: ECTS credit: 0
Pre-requisites: Scheme entry requirements
Co-requisites: None
Staff
Course supervisor: Mr G. Chouliarakis
Teaching staff: Mr G. Chouliarakis
Contact details: For further information, send a message to pgecon[at]essex.ac.uk
Course is taught during the following terms:
Autumn: ○ Spring: ◎ Summer: ◎

Course Description
Topics covered include balance of payments and exchange rate theories; efficiency of foreign exchange markets; the economics of pegged exchange rates, monetary unions, and currency boards; speculative attacks on pegged exchange rates; proposals for international monetary reform; sovereign debt crises.

The aim of the course is to familiarize students with the analytical tools used in the field of international macroeconomics and finance and show how these tools can be applied in examining key policy issues. Also, the course will use appropriate historical evidence to illustrate the validity of alternative theories. By so doing, it will further develop the capacity of students to conceptualize economic events in terms of economic analysis.

Learning and Teaching Methods
2 lecture hours per week

Assessment:
Whichever is the Greater: EITHER 50 percent CourseWork Mark, 50 percent Exam Mark OR 100 percent Exam Mark

Other information:
Compulsory for:
MSc in Financial and Business Economics

Bibliography:
Obstfeld, M. and Rogoff, K. (1996) Foundations of International Macroeconomics, MIT Press; Gandolfo, G. (2001) International Finance and Open Economy Macroeconomics, Springer.


EC511-G-AU: MATHEMATICAL METHODS

Year: 2003/4.
Department: Economics.
Essex credit: ECTS credit: 0
Pre-requisites: Scheme entry requirements
Co-requisites: None
Staff
Course supervisor: Dr R. Baldry
Teaching staff: Dr R. Baldry, Dr E. Maenner and G. Selvaretnam
Contact details: For further information, send a message to pgecon[at]essex.ac.uk
Course is taught during the following terms:
Autumn: ◎ Spring: ○ Summer: ◎

Course Description
The material is designed to explain a number of mathematical concepts and techniques which are fundamental to an understanding of modern economic theory. The topics covered include
differential calculus, optimisation theory, convex analysis and sufficiency Theorems for optimality, differential equations and phase diagrams, optimal control theory and an introduction to dynamic programming.\bigskip.

The course provides students with the basic mathematical skills appropriate for Master's level courses in Economics. The focus is mainly on improving a student's problem solving skills - many applied economic examples are considered, both within lectures and in problem sets. By the end of the course, students should not only have a good understanding of optimisation theory, but also understand formally how economic arguments `work' and the role of `equilibrium'. Students are encouraged to consult with each other when attempting the problem set questions.\bigskip.

Learning and Teaching Methods
One 2 hour lecture and one 1 hour class per week.

Assessment:
30 percent CourseWork Mark, 70 percent Exam Mark

Other information:
Compulsory for:
MSc in Economics, MSc in Financial and Business Economics, MSc in International Economics, MSc in Accounting and Financial Economics, and MSc in Applied Economics and Data Analysis.

Bibliography:
C. P. Simon and L. E. Blume (1994) Mathematics for Economists, W. W. Norton.


EC501-G-SP: ECONOMETRIC METHODS AND APPLICATIONS

Year: 2003/4.
Department: Economics.
Essex credit: ECTS credit: 0
Pre-requisites: Scheme entry requirements
Co-requisites: None
Staff
Course supervisor: Professor J. Richmond
Teaching staff: Professor J. Richmond, Dr E. Maenner Dr J. Ejarque, Dr J. Ruiz and Mr E. Lopez
Contact details: For further information, send a message to pgecon[at]essex.ac.uk
Course is taught during the following terms:
Autumn: ○ Spring: ◎ Summer: ◎

Course Description
This course covers the basic methods of linear regression and hypothesis testing, including extensions to models with autocorrelated and heteroskedastic disturbances and to models with lagged dependent variables. The time series concepts of unit roots and co-integration are also introduced as are the fundamental ideas of simultaneous equation models.

Upon successful completion of this course students will have acquired a grasp of econometric methods applicable to a wide variety of situations, ranging from the classical model through to nonstationary dynamic models and simultaneous equations models. They should understand the methods of estimation and inference as applied in these models, be able to derive the properties of some econometric methods in simple cases and be prepared for the use of these methods in their own empirical work.

Learning and Teaching Methods
One 2 hour lecture per week plus one class per week; in addition one computing lecture for weeks 16 and 17 plus computing class for weeks 18 - 20.

Assessment:
30 percent CourseWork Mark, 70 percent Exam Mark

Other information:
Compulsory for:
MSc in Economics, MSc in Financial and Business Economics, MSc in International Economics, MSc in Accounting and Financial Economics, and MSc in Applied Economics and Data Analysis.

Bibliography:
W. H. Greene, Econometric Analysis, 5th edition, Prentice-Hall, 2003.J. Stewart and L. Gill, Econometrics, 2nd edition, Prentice Hall 1998. J. Johnston and J. DiNardo, Econometric Methods, 4th edition, McGraw-Hill 1996.


EC967-G-SP: EMPIRICAL METHODS OF ECONOMICS AND FINANCE

Year: 2003/4.
Department: Economics.
Essex credit: ECTS credit: 0
Pre-requisites: Scheme entry requirements
Co-requisites: None
Staff
Course supervisor: Professor R. Miller
Teaching staff: Professor R. Miller
Contact details: For further information, send a message to pgecon[at]essex.ac.uk
Course is taught during the following terms:
Autumn: ○ Spring: ◎ Summer: ◎

Course Description
This course investigates the application of empirical techniques to problems in economics and finance. The course integrates economic theory with econometric methods and experimental design: the premise of this course is almost tautological: the equilibrium solution of the correctly specified model provides the data generating process. Focusing on a range of topics split between economics and finance, the course shows how to formulate theories by building and solving models, how to estimate and test them by applying econometric methods to field data and experimental data, and how to interpret and evaluate the empirical results.

Learning and Teaching Methods
2 hour lecture each week

Assessment:
Whichever is the Greater: EITHER 50 percent CourseWork Mark, 50 percent Exam Mark OR 100 percent Exam Mark

Bibliography:
Campbell, J. Y., A. W. Lo and A. C. MacKinlay (1997), The Econometrics of Financial Markets, Princeton University Press.


Optional: EC903-G-AU: MICROECONOMICS

Year: 2003/4.
Department: Economics.
Essex credit: ECTS credit: 0
Pre-requisites: Scheme entry requirements
Co-requisites: None
Staff
Course supervisor: Professor S. Goyal
Teaching staff: Professor S. Goyal
Contact details: For further information, send a message to pgecon[at]essex.ac.uk
Course is taught during the following terms:
Autumn: ◎ Spring: ○ Summer: ◎

Course Description
This course covers the concepts and methods of modern microeconomics. We begin with an overview of the competitive economy and develop the two fundamental theorems of welfare economics. We then study various types of imperfections in markets such as differential information and strategic interaction with a view to understanding the potential role for government policy. Topics covered include contract theory (with moral hazard and adverse selection problems), equilibrium concepts in game theory, and market signalling.

Upon successful completion of this course, students will have acquired a grasp of the main principles and theories of modern microeconomics. In particular, students should have strong insights into the power and logic of economic reasoning and be able to apply those arguments to general issues.

Learning and Teaching Methods
One two hour lecture and 1 hour class per week

Assessment:
Whichever is the Greater: EITHER 50 percent CourseWork Mark, 50 percent Exam Mark OR 100 percent Exam Mark

Other information:
Compulsory for:
MSc in Economics, MSc in Economics and Econometrics, MSc in Applied Economics and Data Analysis

Bibliography:
Gravelle, H and R Rees, Microeconomics [Longman]
Gibbons, R, A Primer in Game Theory, Harvester-Wheatsheaf, 1992.