ICM107-Securities, Futures and Options

Module Provider: ICMA Centre
Number of credits: 20 [10 ECTS credits]
Level:7
Terms in which taught: Autumn term module
Pre-requisites:
Non-modular pre-requisites:
Co-requisites:
Modules excluded:
Module version for: 2017/8

Module Convenor: Dr Yeqin Zeng

Email: y.zeng@icmacentre.ac.uk

Summary module description:

This module is delivered at University of Reading and University of Reading Malaysia



Securities, Futures and Options 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.


Aims:
Securities, Futures and Options 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.

Assessable learning outcomes:
By the end of the module, the student will be able to: understand the theoretical basis for the economic analysis of risk; assess the characteristics of individual assets and portfolios of risky assets; construct the mean-variance efficient frontier and identify the optimal risky portfolio for a given universe of risky assets; explain the role of beta as a risk measure in the capital market equilibrium described by the CAPM; understand the use of the no-arbitrage principle to the pricing of risky assets and describe the basic features of the arbitrage pricing theory; understand the fundamentals of forward and futures contracts, their valuation and use in simple hedging strategies; understand financial options, their characteristics and valuation. Knowledge of real world pricing and trading strategies (INVEST sessions).

Additional outcomes:
The student will develop familiarity with sources of financial market data and gain experience in manipulating and analysing this data in ways closely related to market practice. The seminars will provide students with an opportunity to propose and defend explanations for the observed behaviour of investors and the resulting pattern of returns on risky assets.

Outline content:
Topic 1 Financial assets and investing in securities markets, NPV and stock valuation Topic 2 Choice under uncertainty Topic 3 Portfolio theory Topic 4 The capital asset pricing model Topic 5 Arbitrage pricing theory Topic 6 The efficient markets hypothesis Topic 7 Derivative securities and the no-arbitrage principle Topic 8 Options basic properties and valuation

Brief description of teaching and learning methods:
1. Lectures: the two and a half- hour lectures cover the topics
2. Seminars: students meet in small groups for a series of seminars. Seminar discussions are based on non-assessed coursework set by the instructors.
3. INVEST Sessions with Grade Point Cash counting towards the final grade.


Contact hours:
  Autumn Spring DL
Lectures      
Tutorials/seminars      
Practicals      
Other contact (eg study visits)      
       
Total hours      
       
Number of essays or assignments      
Other (eg major seminar paper)      

Summative Assessment Methods:
Method Percentage
Written exam 60
Written assignment including essay 30
Practical skills assessment 10

Other information on summative assessment:

Coursework: Group project of up to 2,500 words, 30% of final mark INVEST mark (grade point cash): 10% of final mark (full-time programme only)


Formative assessment methods:

Penalties for late submission:
Penalties for late submission on this module are in accordance with the University policy. Please refer to page 5 of the Postgraduate Guide to Assessment for further information: http://www.reading.ac.uk/internal/exams/student/exa-guidePG.aspx

Length of examination:

2.5 hour closed-book multiple choice test (60%)


Requirements for a pass:
50% weighted average mark

Reassessment arrangements:
By examination only, as part of the overall examination arrangements for the MSc programme.


Additional Costs (specified where applicable):
1) Required text books:
2) Specialist equipment or materials:
3) Specialist clothing, footwear or headgear:
4) Printing and binding:
5) Computers and devices with a particular specification:
6) Travel, accommodation and subsistence:

Last updated: 31 March 2017

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