Магистратура
2025/2026
Финансовая экономика: Финансовые рынки
Статус:
Курс обязательный (Финансовая экономика)
Кто читает:
Международный институт экономики и финансов
Где читается:
Международный институт экономики и финансов
Когда читается:
1-й курс, 3, 4 модуль
Охват аудитории:
для своего кампуса
Язык:
английский
Кредиты:
6
Контактные часы:
82
Course Syllabus
Abstract
The aim of the course is to guide through the basic building blocks of classical finance and to discuss fundamentals of the capital markets theory in discrete time. The first lectures will be devoted to the bond markets. Then we will cover equity markets and pricing of the contingent claims. Afterwards we are going to consider mean-variance portfolio optimization, CAPM and APT models with empirical testing of those models. The course assumes a sound command of calculus, linear algebra (matrix manipulation and etc.) and optimization (method of Lagrange multipliers). This course gives an introduction to the economics and mathematics of financial markets. Being the first course in finance within the ICEF Master Programme in Financial Economics, it introduces the students to the relevant modeling techniques for asset pricing. This will be useful for later courses in Corporate Finance, Fixed Income, Derivatives and Risk Management. The course introduces to the two pricing principles: absence of arbitrage and equilibrium based on individual optimality. The first principle is especially useful for pricing derivative instruments (e.g. an option contract) whenever we know (or assume to know) the dynamics of the price of the underlying asset (e.g. a stock). In order to price the whole universe of financial assets, however, we need to investigate how investors choose their consumption and the composition of their investment portfolios (individual optimality) and how the coordination of these investors on the financial markets leads to the formation of prices (equilibrium analysis). Most of the course covers one-period models and dynamic models in discrete time. However, some equilibrium models are presented in continuous time since this makes them more tractable and they have more elegant solutions. Option pricing in continuous time is left for the 2nd year course in Derivatives. Although the focus of the course is on theory, we shall comment on some empirical evidence and on how these theories are used in financial practice.
Learning Objectives
- To introduce students with fundamentals of financial markets and theories of asset pricing
- To familiarize students with various techniques for setting fair pricing and detecting arbitrage mispricing in bond and equity markets
Expected Learning Outcomes
- Apply no-arbitrage pricing in the dynamic context
- Apply representative agent analysis to solve a simple portfolio choice problem and determine equilibrium expected returns
- Be able to build a social welfare function
- Be able to express equilibrium prices under the physical and the risk-neutral measures
- Explain the application of probability theory to the modeling of the flow of information in dynamic economies
- Explain the basic Arrow-Debreu framework and how it relates to the financial market framework
- Explain the connection with informational efficiency
- Explain the intuition behind the two-fund separation theorem and the CAPM formula
- List the particular properties of economies where agents have linear risk tolerance
- List the properties of mean-variance economies and be able to compare them to economies with linear risk tolerance
- Outline the notions of Pareto and constrained Pareto optimality
- to apply basic financial models, understand their features and limitations
- to clearly articulate on most important finance issues in valuation of bonds and equities
- to justify conclusions using appropriate methodological and financial arguments with appropriate rigour
- to analyze and evaluate quantitative problems in finance
- to understand, speak and write the language of financial economics and also become familiar with the most important theoretical models for asset pricing
Course Contents
- Bonds
- Choice under Uncertainty - Utility Theory
- Valuation of Contingent Claims
- Portfolio Theory
- Beta-pricing models
- Dynamic models. Introduction to dynamic programming
- Equilibrium Models: Static Economies
- Equilibrium Models: Dynamic Economies
Assessment Elements
- Final ExamStudents should get at least 35 points for the final exam to pass the course.
- Midterm Exam
- home assignments
Interim Assessment
- 2025/2026 4th module0.6 * Final Exam + 0.15 * home assignments + 0.25 * Midterm Exam
Bibliography
Recommended Core Bibliography
- Dynamic Asset Pricing Theory, 3rd ed., 465 p., Duffie, D., 2001
- Intermediate financial theory, Danthine, J.-P., 2015
- Introduction to the economics and mathematics of financial markets, Cvitanic, J., 2004
- Investments, Bodie, Z., 2018
Recommended Additional Bibliography
- Options, futures, and other derivatives, Hull, J. C., 2009