Финансовые инструменты и управление инвестиционным портфелем

2021/2022

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:

3-й курс, 1, 2 модуль

Преподаватель

Горовой Вячеслав Сергеевич

Программа дисциплины

Аннотация

The course will be composed of two parts: 1. Investment Portfolio Management (taught by Oleg Shibanov) 2. Derivatives and trading strategies (taught by Vyacheslav Gorovoy) The first part of the course investigates how to manage the trade-off between maximizing expected return and minimizing risk for portfolios of securities. Issues to be considered include allocation of assets, selection of securities and optimal portfolio strategies through time. While the theoretical underpinnings will not be neglected, the emphasis of the course will be on implementation of the theory i.e. investment management in practice and based on the data-driven approach. The second part is an introduction to the theory and practice of derivative instruments. It will coverthe non−arbitrage 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 material will be particularly relevant to students interested in financial markets, securities trading and structured products development involving derivatives. Because of the quantitative nature of the course, Python is used for lecture notes and HWs

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
• Part 2

Элементы контроля

• Final test
  60%
• Midterm
  24% Assessment will be based on several assignments and the midterm. All of these are nonblocking, while home assignments have no makeups.
• Class participation
  5%
• 3 homework problem sets
  25% (7.5%,7.5% and 10%)
• Game
  10%
• 2 individual homeworks

Промежуточная аттестация

• 2021/2022 учебный год 1 модуль
  The final grade for a course that includes several interim assessments depends on the grades for previous interim assessments, in tandem with the grades received. Getting an unsatisfactory grade for one of the parts of the course excludes the possibility of getting a positive grade for the course.
• 2021/2022 учебный год 2 модуль
  The final grade for a course that includes several interim assessments depends on the grades for previous interim assessments, in tandem with the grades received. Getting an unsatisfactory grade for one of the parts of the course excludes the possibility of getting a positive grade for the course.

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.