Module Code - Title:
FI4008
-
EMPIRICAL FINANCE
Year Last Offered:
2025/6
Hours Per Week:
Grading Type:
N
Prerequisite Modules:
Rationale and Purpose of the Module:
The course provides students with a thorough grounding in the empirical study of international financial markets to prepare them for potential careers as traders, risk-managers, quantitative analysts, stockbrokers, fund managers, etc in the financial services industry. The learning experience is enhanced through the learning-by-doing experiences of course participants through a mix of computer workshop-oriented tutorials and labs, and interactive web-based simulations.
Syllabus:
Introduction to Financial Statistics: measures of location and spread, common probability distributions, understanding probability density functions, importance of higher-order moments in financial modelling. Application of probability distributions in financial modelling. The linear regression model and parameter estimation. Fundamentals of model specification testing. Financial modelling in volatile markets. Introduction to lattices (binomial/trinomial trees), their use in the representation of stochastic processes and their applications in basic derivative security valuation. Real options theory. Hedge funds.
Learning Outcomes:
Cognitive (Knowledge, Understanding, Application, Analysis, Evaluation, Synthesis)
On successful completion of the module students will be able to:
- discuss probability distributions and their applications in finance.
- calculate statistics to describe asset return distributions.
- explain why higher order moments are important considerations in financial modelling.
- use regression analysis to investigate financial data.
- interpret regression outputs.
- test models relating to a number of asset price processes.
- use lattice techniques to price derivatives.
- discuss real options theory and strategies.
- describe a range of hedge fund strategies.
Affective (Attitudes and Values)
N/A
Psychomotor (Physical Skills)
N/A
How the Module will be Taught and what will be the Learning Experiences of the Students:
The module is delivered through lectures and tutorials. Labs will play an important role due to the technical nature of the material. Students need to be proactive in their lab work so as to be able to complete empirical assignments and trading simulations.
Research Findings Incorporated in to the Syllabus (If Relevant):
Prime Texts:
Quantitative Methods in Finance (1997)
Quantitative Methods in Finance
, Thomson
Hull (2009)
Options, Futures and Other Derivatives
, Prentice Hall
Other Relevant Texts:
Wilmott (2001)
Paul Wilmott Introduces Quantitative Finance
, Wiley
Alexander (2002)
Market Models & Financial Data Analysis
, Wiley
Programme(s) in which this Module is Offered:
BSENERUFA - Energy
BBBUSTUFA - BUSINESS STUDIES
HDBEFLTFA - Business and English as a Foreign Language (Pre Ma
CTAPBUUPA - Applied Business
Semester(s) Module is Offered:
Spring
Module Leader:
James.Ryan@ul.ie