Финансовое моделирование и торговые стратегии

2020/2021

Учебный год

RUS

Обучение ведется на русском языке

6

Кредиты

Кто читает:

Отдел сопровождения учебного процесса в Совместном бакалавриате ВШЭ-РЭШ

Статус:

Курс по выбору

Когда читается:

4-й курс, 1, 2 модуль

Преподаватель

Горовой Вячеслав Сергеевич

Программа дисциплины

Аннотация

The course will be composed of two parts: 1. Financial modelling (taught by Petr Dorozhkin) 2. Derivatives and trading strategies (taught by Vyacheslav Gorovoy) The first part introduces the listener to methodology and practical aspects of financial modelling, covering calculation – hungry areas of modern finance: financial statements projecting, modelling acquisitions, stock valuation and risk management. It also presents methodology of financial modelling (from goal setting to results validation) and introduces financial modelling standards. Time permitting, advanced MS Excel modelling tools (e.g. VBA, solver, goalseek) will also be covered. The material presented is particularly useful for students, interested in mastering modelling – intensive areas like business planning, strategy, and valuation. The second part is an introduction to the theory and practice of financial engineering. It will cover the pricing of forward and futures contracts, binomial and Black−Scholes− Merton model for option pricing, hedging and replication of derivatives and other important topics. The course will use the Python programming language for HWs and the exam. The material will be particularly relevant to students interested in financial markets, securities trading and structured products development involving derivatives.

Цель освоения дисциплины

• how to apply models for financial decision-making
• how the valuation technics could help in financial modelling
• how to use advanced MS Excel modelling tools
• to know about covering the pricing of forward and futures contracts, binomial and Black−Scholes− Merton model for option pricing, hedging and replication of derivatives

Планируемые результаты обучения

• consolidation of the foundations and development of specific skills of financial modelling and financial engineering
• development of a modern system of knowledge and skills that allow to build a financial model of the business depending on task specificity
• using the skills of collecting, processing, analysing and systematizing information for compiling a financial model

Содержание учебной дисциплины

• Part 1
  1. Introduction. Deriving CAPM and optimal portfolios. (3-4 lectures) Home assignment 1. 2. Performance measures. (1-2 lecture) 3. Equity valuation (1 lecture) 4. Testing CAPM. (2-3 lectures) 5. Factors, anomalies and strategies. (3-4 lectures) Home assignment 2. 6. Market eciency and return predictability. (2-3 lectures) Home assignment 3. 7. Event studies. (1 lecture) 8. Mutual funds, hedge funds, alternative investments. (2 lectures) 9. Warren Buett. (1 lecture)
• Part 2
  ● Introduction to Financial Engineering ● Forward and Futures contracts: Pricing by arbitrage. Investing, trading, hedging, and arbitrage applications. Foreign exchange, equity, and commodity markets. ● Introduction to Options: Option basics. Model−free properties of option prices. Arbitrage relationship. The binomial model of asset price dynamics. ● The Black−Scholes Model: Modeling stock price behavior. Geometric Brownian motion. Lognormal distribution. Risk−neutral valuation. The Black−Scholes− Merton option pricing formula. ● Hedging: Option hedging. Greeks . Synthetic replication and hedging of options. Option hedging. Delta hedging. Greeks. ● Volatility: Implied volatility. Implied distribution. FX and equity smiles. The volatility surface and term structure. Historical versus implied volatility. ● Credit risk adjustment: CVA. Wrong/Right way risk. ● Structured Products: Capital protected and Yield enhancement products. ● Trading Strategies

Элементы контроля

• 2 individual homeworks
  each 5%
• In-class Final test
• Take home project
• Class participation
• 3 homework problem sets
  each 5%
• Game
• In-class Final test (on computers)

Промежуточная аттестация

• Промежуточная аттестация (2 модуль)
  0.1 * 2 individual homeworks + 0.15 * 3 homework problem sets + 0.05 * Class participation + 0.05 * Game + 0.15 * In-class Final test + 0.3 * In-class Final test (on computers) + 0.2 * Take home project

Список литературы

Рекомендуемая основная литература

• Hull, J. C. (2017). Options, Futures, and Other Derivatives, Global Edition. [Place of publication not identified]: Pearson. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1538007
• Simon Benninga. (2008). Financial Modeling, 3rd Edition. The MIT Press.

Рекомендуемая дополнительная литература

• Benninga, S. (2010). Principles of Finance with Excel. Oxford University Press.
• John Hull. (2019). Mathematical Finance: A Very Short Introduction. Quantitative Finance, 10, 1609. https://doi.org/10.1080/14697688.2019.1648638
• Michael Rees. (2018). Principles of Financial Modelling : Model Design and Best Practices Using Excel and VBA. Wiley.