ICM267-Stock Index Futures

Module Provider: ICMA Centre
Number of credits: 10 [5 ECTS credits]
Terms in which taught: Spring term module
Non-modular pre-requisites:
Modules excluded:
Module version for: 2016/7

Module Convenor: Prof Charles Sutcliffe

Email: c.sutcliffe@icmacentre.ac.uk

Summary module description:

This module is an option for ICMA Centre MSc students, and will cover the usage of stock index futures. It is a less quantitative option open to all MSc students that will build on the coverage of futures contracts in SFO.

Assessable learning outcomes:
By the end of the module it is expected that students will be aware of the different ways of constructing stock market indices and the implications of these differences, how futures contracts are traded and the identity of some of the close substitutes for trading index futures, how futures can be priced using an arbitrage relationship, how futures can be used for hedging the price risk of the underlying, and the various uses that fund managers make of these instruments.

Additional outcomes:
The classwork will improve the ability of students to solve numerical problems. It will give students a solid understanding of one type of heavily traded financial instrument.

Outline content:
1Introduction to Trading Stock Index Futures
2Arbitrage and the Valuation of Stock Index Futures
3The Basis and Spread Trading of Stock Index Futures
4Hedging Using Stock Index Futures
5The Uses of Stock Index Futures by Fund Managers

Brief description of teaching and learning methods:
Lectures will be used to introduce the theory and concepts covered in the module. Seminars will allow the students to discuss the classwork problems, which will illustrate the concepts covered in this module.

Contact hours:
  Autumn Spring Summer
Lectures 10
Seminars 4
Guided independent study 86
Total hours by term 100.00
Total hours for module 100.00

Summative Assessment Methods:
Method Percentage
Written exam 80
Class test administered by School 20

Other information on summative assessment:

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:
One 2 hour closed book exam

Requirements for a pass:

Reassessment arrangements:

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: 21 December 2016

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