ECC5750

Financial economics

Dr Barry Goss

6 points
* Two 1.5-hour lectures per week
* Second semester
* Clayton
* Prerequisite: ECC4650

Objectives On completion of the subject students should be familiar with theories of individual decision making by hedger-speculators in, and empirical research on the performance of financial futures markets, including informational efficiency; be familiar with empirical research on the effect of international information flows on prices with high-frequency data; be familiar with theoretical models of, and empirical research on price determination in options markets and the use of options markets for hedging purposes; be able to comment critically on the above literature and to prepare a research essay containing critical comment, theoretical and/or empirical analysis based on this literature and/or data from these markets.

Synopsis Attitude toward risk, decision making by discretionary hedgers in futures markets; price determination and performance of futures markets; international information flows with high frequency data and arbitrage; price determination and hedging in options markets.

Assessment Essay: 25%
* In-class presentation: 25%
* Examination (2 hours): 50%