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The long code for this module is: EC372-6-SP, where 6 means "final year undergraduate" and SP means "Spring" (January–March), although revision sessions and the final exam take place in the summer term.
Here is a link to the standard view of the CMR.
Term paper titles – Spring 2012.
Guidance for preparing term papers.
Additional hints to help with term papers.
Formative assessment:
Lecture presentations and exercises (week by week).
Link to the Department of Economics website
Links to past
exam question papers
Also available is a
"mock" final exam with
answer guidelines.
Online
module directory entry for EC372
Module supervisor: Roy Bailey, email:rbailey@essex.ac.uk. If you spot any broken links, please send me an email with the details.
Textbook
The textbook for the course is
Economics
of Financial Markets
(Cambridge University Press, 2005).
It is also available as an
e-book
(individual chapters can be purchased separately).
Lecture Slides and Exercises – Spring 2012
Outline of topics:
The lecture presentations and notes may be updated during the term.
| University week 16 16 – 20 January 2012 Bond Markets and Fixed Interest Securities Introductory presentation (notes style) Topic 01: presentation style, or notes style A note on how to infer expected inflation from bond yields. The term structure of interest rates: a brief summary See the Bank of England website
for detailed information about how to construct
yield curves.
(Click on the "Statistics" menu item,
followed by "Financial
Market Data",
then on "Estimates of UK
Yield Curves".)
Exercises: topic 01. |
| University week 17 23 – 27 January 2012 Futures Markets: I Basic Ideas Topic 02: presentation style, or notes style. Example (1) of a futures contract specification: Wheat futures on the Kansas City Board of Exchange Example (2) of a futures contract specification:
Wheat futures
on the Chicago Board of Trade (now part of the
CME Group) Exercises: topic 02. |
| University week 18 30 January – 03 February 2012 Futures Markets II: Speculation and Hedging Topic 03: presentation style, or notes style. An extra note on hedging using futures contracts. Some graphs to illustrate a famous case of manipulation of futures markets. Exercises: topic 03. |
| University week 19 06 – 10 February 2012 Futures Markets III: Applications Topic 04: presentation style, or notes style. Contract specifications for one of the Weather Futures contracts on the Chicago Mercantile Exchange. Contract specifications for Sterling Short Term Interest Rate Futures on NYSE Euronext (London) Contract specifications for Long Gilt Futures on NYSE Euronext (London) Contract specifications for FTSE 100 Index Futures on NYSE Euronext (London) The case of Jérôme Kerviel at Société Générale: SocGen's statement of 27 January 2008; a note on aspects of the case relevant for EC372 (updated, 4 February 2011) Case study: Bond Auctions and Bond Futures: Anomaly or Normal Backwardation Exercises: topic 04. |
| Spring week 20 13 – 17 February 2012 Options Markets I: Fundamentals Topic 05: presentation style, or notes style. Extra noted on: (a) how to demonstrate option bounds, and (b) the relationship between premiums on American and European put options. Exercises: topic 05. |
| University week 21 20 – 24 February 2012 Options Markets II: Price Determination Topic 06: presentation style, or notes style. An short note on how to obtain an option price formula. A note on the volatility of asset returns in the context of options prices. CBOE VIX index: information about the index of implicit volatility publicised at the Chicago Board Options Exchange. Exercises: topic 06. |
| University week 22 27 February – 02 March 2012 Option Markets III: Applications Topic 07: presentation style, or notes style. Contract specifications for Option on Sterling Short Term Interest Rate Futures traded on NYSE Euronext (London) Contract specifications for FTSE 100 Index Options (European style) on NYSE Euronext (London) Exercises: topic 07. |
| University week 23 05 – 10 March 2012 Swap Contracts and Swap Markets Topic 08: presentation style, or notes style. A note on Longevity Swaps, with a link to J.P. Morgan LifeMetrics (referred to in the note).
A note on Credit Default Swaps
Exercises: topic 08. |
| University week 24 12 – 16 March 2012 Financial Intermediation, I: Fundamentals Topic 09: Detailed notes (Preliminary) Topic 09 Lectures: presentation style, or notes style. (Preliminary) Exercises: topic 09. |
| University week 25 19 – 23 March 2012 Financial Intermediation, II: Bonds versus Loans Topic 10: Detailed notes (Preliminary) Topic 10 Lectures: presentation style, or notes style. (Preliminary) Exercises: topic 10. |
Guidelines and solutions to all the exercises are
available.
You should not look at these until you have tried to answer
the exercises yourself.
Websites:
Here are some (among the many) interesting websites for commodities
and derivatives markets:
Department of Economics: main course materials listing
Last updated 01 February 2012