The MSc programmes

About the MSc programmes
Applicants for the MSc Finance and Economics and MSc Finance and Economics (Research) programmes should have a strong undergraduate background in economics, or an applied mathematical sciences background with at least a year of economics courses.
Minimum entry requirements are a good upper second class honours degree (preferably in economics) from a UK university or equivalent in an overseas degree. This degree should have had strong analytical content, including courses in microeconomic theory, econometrics, calculus and matrix algebra. All applicants must also submit a GRE or GMAT test score. GRE/GMAT scores must show a strong performance in the quantitative segment (above the 85th percentile). Decisions will not normally be made in the absence of this test result. Please see Admissions Enquiries System. Applicants to the MSc programme may be exempted from submitting GRE/GMAT scores only in exceptional circumstances. This may include cases where the requirement proves difficult for the individual to meet (eg the test not being offered in the applicant's home country or where test centres only have limited spaces available for testing). Where this is the case, applicants should complete and submit the online GMAT/GRE waiver form on the Graduate Admissions Office web page. Graduate Admissions will subsequently advise whether a waiver can be granted. Candidates are advised that requests for a waiver of this test are seldom granted. Applicants from developing countries may be eligible to be considered for one of the Lord Dahrendorf Scholarships (sponsored by Deutsche Bank). For more information, please see the Department of Finance website.
Both programmes cover investments and asset pricing, option and derivatives pricing, and portfolio management. They provide a thorough exposure to econometric methods, including time series analysis, with applications to financial models and data. The MSc Finance and Economics programme will be of interest if you plan a career in a financial institution or in a role in industry which calls for advanced analytical skills. It is also good preparation for doctoral research in the area. The MSc Finance and Economics (Research) programme will be of interest if you intend to pursue doctoral research, and more particularly, if you are applying for funding under the ESRC 1+3 scheme.
Students are required to attend pre-sessional September courses in mathematics, statistics, economics and econometrics. This allows students to review topics such as matrix algebra, multivariate calculus and differential equations. During September and throughout the Michaelmas term, students will also be required to attend an introductory course on Quantitative Methods for Finance. This provides an introduction to some of the concepts underlying the theory of stochastic processes in continuous time, with a view to finance applications. On completion of the September courses, students will take examined courses to the value of four full units, one of which will include writing a dissertation as part of the assessment.
Compulsory courses
Microeconomics for MSc students
Financial Economics
Financial Econometrics
Options
(* half unit)
Choose to the value of one full unit from the following list of half unit options:
Applied Corporate Finance*
Corporate Finance Theory*
Financial Intermediaries*
Financial Risk Analysis*
Fixed Income Markets*
Forecasting Financial Time Series*
Global Financial System*
International Finance*
Trading and Institutions*
Portfolio Management*
To fulfill the programme requirements, you must also complete a dissertation of not more than 6,000 words on an agreed topic in one of the optional half unit courses, and take an examination in the other.
About the research programme
Compulsory courses
Microeconomics for MRes Students
Financial Economics
Financial Econometrics
Plus choose one of the half unit optional courses listed above and write a 10,000 word dissertation in place of the other half unit course.

EC441 Microeconomics for MRes Students
This information is for the 2008/09 session.
Teachers responsible
Professor A Prat, R522 and Professor M Piccione, S477
Availability
This course is for the MRes/PhD Economics and PhD Finance. It is also available, subject to regulations and with the permission of the course proprietor, to students on MSc Economics, MSc Econometrics and Mathematical Economics and MSc Finance and Economics (Research).
Pre-requisites
A good undergraduate knowledge of economic theory and calculus is required.
Course content
The aim of the course is to:i. introduce the basic analytical tools that are necessary to conduct research in any field in economics.ii. give the students a full understanding of the classic Microeconomic Theory and of the modern developments of Microeconomic Theoryiii. enable students to address a microeconomic problem by structuring it as a mathematical model and to obtain useful economic predictions though the use of mathematical tools.
Topics include: Consumer theory, producer theory, general equilibrium, welfare, choice under uncertainty, game theory, economics of information, agency theory, contracts, topics in mechanism design.
Teaching
Lectures EC441: 60 hours MT and LT.
Classes EC441.A: 30 hours sessional.
Formative coursework
Exercises are set for each class. There will in addition be a test at the end of the MT and a one-and-a-half-hour mock examination at the start of the ST.
Reading list
The main texts are Mas-Collel, Whinston & Green, Microeconomic Theory, OUP and D Fudenberg & J Tirole, Game Theory, MIT Press. Other sources include: D M Kreps, A Course in Microeconomic Theory, Harvester Wheatsheaf; H R Varian, Microeconomic Analysis (3rd edn), Norton; M J Osbourne & A Rubinstein, A Course in Game Theory, MIT Press; G A Jehle & P J Reny, Advanced Microeconomic Theory, Longman.
Assessment
A three-hour written examination in the ST.

FM436 Financial Economics
This information is for the 2008/09 session.
Teachers responsible
Dr J-P Zigrand, A454a and Dr Rohit Rahi, A351
Availability
Exclusively for MSc Finance and Economics, MSc Finance and Economics (Research) and PhD Finance students.
Pre-requisites
Mathematical background at the level of the September Courses in Mathematics and Quantitative Methods for Finance is assumed.
Course content
A required graduate course for the MSc Finance and Economics programme, on investors’ behaviour, market equilibrium, and asset pricing.
Will encompass topics in choice under uncertainty, complete and incomplete asset markets, mean-variance portfolio theory and equilibrium asset pricing, pricing with no arbitrage, intertemporal asset pricing, Black-Scholes option and other contingent claims pricing models, the term structure of interest rates under uncertainty, and the pricing of interest rate linked and other derivative securities.
Teaching
40 hours of lectures, 20 hours of classes.
Formative coursework
15 problem sets in classes.
Reading list
Will be based on: Teaching notes, as well as C Huang & R Litzenberger, Foundations for Financial Economics, North-Holland, 1988; T Björk, Arbitrage Theory in Continuous Time, 2nd edn, Oxford University Press, 2004; M Baxter & A Rennie, Financial Calculus, Cambridge University Press, 1996.
Assessment
A three-hour written examination in the ST. Students attempt two out of three questions in Section A and two out of three in Section B.

FM437 Financial Econometrics
This information is for the 2008/09 session.
Teachers responsible
Dr A Patton, Dr X Lin and Professor Vassilis Hajivassiliou
Availability
Exclusively for MSc Finance and Economics, MSc Finance and Economics (Research) and PhD Finance students.
Pre-requisites
Mathematical background to the level of the course taught in September in the Economics Department is assumed.
Course content
The techniques of empirical investigation in economics and finance. Students are introduced to recent empirical findings based on asset pricing models.
The course includes a selection of the following topics: multivariate regression; maximum likelihood and methods of moments estimation; hypothesis testing; omitted variables and misspecification; asymptotic theory; measurement error and instrumental variables; time-series modelling; predictability of asset returns; event study analysis; econometric tests of the CAPM and multifactor models; volatility modelling; generalised method of moments estimation.
Teaching
40 hours of lectures and 20 hours of classes. The first half of this course is taught jointly with EC402 Methods of Economic Investigation.
Formative coursework
Exercises are provided each week and they are discussed in class.
Reading list
A complete reading list is available at the beginning of session. Will be based on Greene, Econometric Analysis, Prentice-Hall; Campbell, Lo & MacKinlay, The Econometrics of Financial Markets, Princeton University Press; selected published articles.
Assessment
A three-hour written examination in the ST.