Asset Pricing and Financial Markets

2022/2023

Учебный год

ENG

Обучение ведется на английском языке

7

Кредиты

Кто читает:

Департамент больших данных и информационного поиска

Статус:

Курс по выбору

Когда читается:

4-й курс, 1-3 модуль

Преподаватель

Виноградова Вероника Сергеевна

Course Syllabus

Abstract

This course is aimed at students who wish to understand how financial markets work and how securities are priced. Using present value techniques, it gives a theoretical treatment of bond and stock valuation including portfolio theory and a development of the Capital Asset Pricing Model. The concept of financial market efficiency is introduced, and evidence for efficiency evaluated. Finally, there is a presentation of derivative pricing using absence of arbitrage arguments. The course is based on lectures, seminars, team work and self-study. “Asset pricing and Financial markets” is a two-semester course.

Learning Objectives

• Сomprehending the no-arbitrage condition as a key valuation principle
• Providing students with a thorough grounding in asset pricing
• Developing students’ skills in applying pricing methods to realistic scenarios
• Provide a critical overview of the research on financial markets efficiency
• Developing students’ understanding of how security markets operate.

Expected Learning Outcomes

• Outline the purpose of derivative products; know the most common ones
• Present, explain and apply the Capital Asset Pricing model for computing expected stock returns.
• Apply Black-Scholes formula
• Apply present value techniques to price stocks and bonds
• Be able to put the notion of pricing by replication under absence of arbitrage in practice for simple contracts like forwards and in the binomial tree model
• Define the EMH and explain what it means in practice
• Describe the important differences between stock, bond and derivative securities.
• Employ mathematical tools to compute risk and return for portfolios of securities.
• Evaluate portfolio choice problems.
• Explain how to price assets using both present value and absence of arbitrage methods.
• Explain under which conditions efficiency may not fully hold

Course Contents

• Introduction to the course and its basic principles
• Understanding and pricing government bonds
• Valuation of stocks
• Risk, returns and stock portfolios
• Portfolio theory and the CAPM
• Market efficiency
• Derivative securities and derivative pricing

Assessment Elements

• Quizzes
• Cases
• Test
• Seminars
• Midterm exam
• Final exam

Interim Assessment

• 2022/2023 2nd module
  0.25 * Quizzes + 0.2 * Test + 0.3 * Midterm exam + 0.25 * Seminars
• 2022/2023 3rd module
  Final grade = 0,1 Quizes + 0,05 Test + 0,15 Seminars + 0,1 Cases + 0,2 MidTermExam + 0,4 FinalExam

Bibliography

Recommended Core Bibliography

• Corporate finance, Berk, J., 2014