• A
  • A
  • A
  • АБB
  • АБB
  • АБB
  • А
  • А
  • А
  • А
  • А
Обычная версия сайта
Магистратура 2019/2020

Теория финансов

Статус: Курс обязательный (Финансовый аналитик)
Направление: 38.04.08. Финансы и кредит
Когда читается: 1-й курс, 3, 4 модуль
Формат изучения: Full time
Прогр. обучения: Финансовый аналитик
Язык: английский
Кредиты: 5

Course Syllabus

Abstract

This course is designed to introduce to students the fundamental issues of the Theory of Finance. It is an in-depth study of what the fundamental properties of key financial instruments are and what techniques based on these properties for appropriate pricing and / or detecting mispricing have been suggested. In addition to a thorough insight into fundamental theoretical concepts the course covers some areas of related applied / quantitative research. Two key types of financial instruments are studied throughout the course, bonds and equities. The course’s focus is on fundamental and advanced concepts as well as applications in asset pricing in bond and equity markets. It investigates into what are approaches to asset pricing when pay-offs are certain (fixed claims) and when pay-offs are uncertain (state contingent claims). The course provides essential knowledge and competence at a postgraduate level to those students who intend to follow careers in applied or quantitative finance, as well as to those students who intend to pursue further research. It would be beneficial for perspective CFA level 2&3 test takers as well.
Learning Objectives

Learning Objectives

  • The course is rather intense. There are both basic theoretical concepts and elaborate formal models of bond and equity markets as inputs to the course’s content. It involves considering both classic and recent research contributions to the area. This is to give students a solid and comprehensive understanding of the fundamentals and evolution of the Theory of Finance.
Expected Learning Outcomes

Expected Learning Outcomes

  •  To improve students’ understanding of basic theoretical concepts of the Theory of Finance;
  •  To present various techniques for appropriate pricing and / or detecting mispricing in bond and equity markets;
  •  To discuss management of uncertainty in pay-offs and portfolio optimization strategies;
  •  To guide students through applications of the Theory of Finance in preparation for future independent quantitative research.
Course Contents

Course Contents

  • Market for discount and coupon bonds: basic assumption of bond pricing, alternative bond pricing techniques, sources of risk and hedging strategies
  • Arbitrage and price consistency in bond markets: empirical issues
  • Arbitrage and price consistency in bond markets: theoretical issues
  • Market for contingent claims: the SDF model, risk-neutral valuation, and contingent claims valuation
  • SDF and discount bond valuation
  • Expected utility and risk aversion
  • Portfolio Theory: expected utility maximization, the mutual fund theorem, the Sharpe portfolio separation theorem, portfolio choice with and without a safe asset; application to the mutual fund industry
  • Capital Asset Pricing Model
  • Alternative asset allocation strategies
Assessment Elements

Assessment Elements

  • non-blocking 1home assignment
  • non-blocking 2 home assignment
  • non-blocking Final test
Interim Assessment

Interim Assessment

  • Interim assessment (4 module)
    0.2 * 1home assignment + 0.2 * 2 home assignment + 0.6 * Final test
Bibliography

Bibliography

Recommended Core Bibliography

  • Asset pricing, Cochrane J. H., 2005

Recommended Additional Bibliography

  • The econometrics of financial markets, Campbell J. Y., Lo A. W., 1997