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Магистратура 2019/2020

Теория финансов

Направление: 38.04.08. Финансы и кредит
Кто читает: Школа финансов
Когда читается: 1-й курс, 3 модуль
Формат изучения: Blended
Преподаватели: Родина Виктория Алексеевна (читает лекции, ведет семинары и принимает экзамены/зачеты)
Прогр. обучения: Стратегическое управление финансами фирмы
Язык: английский
Кредиты: 3

Программа дисциплины

Аннотация

The course is designed to introduce to students the fundamental issues of financial theory. It is an in-depth study of what the key properties of financial assets are and what techniques for setting fair pricing and detecting arbitrage mispricing have been suggested. The course is rather intense. It involves considering both classic and recent research contributions to the area. In addition to a thorough insight into fundamental theoretical concepts the course covers some issues of related applied research. The course provides essential knowledge and competence at a postgraduate level to those students who intend to follow careers in applied finance, as well as to those students who intend to pursue further research. It would be beneficial for perspective CFA level 1-3 test takers.
Цель освоения дисциплины

Цель освоения дисциплины

  • To improve understanding of basic theoretical concepts and elaborate formal models of financial theory
  • To familiarize students with various techniques for setting fair pricing and detecting arbitrage mispricing in bond and equity markets
  • To familiarize students with management of uncertainty of payoffs and strategies of portfolio optimization
  • To guide students through applications of financial theory in preparation for future independent research
Результаты освоения дисциплины

Результаты освоения дисциплины

  • Be familiar with research at the frontier of finance, formulate a research proposal, identify the problem, attach importance and suggest appropriate solution techniques
  • Clearly articulate on key finance issues in valuation of bonds and equities, identify and understand important research contributions to the evolution of financial theory
  • Distinguish among formal models and critically discuss key facts about them (assessment, implications, uniqueness, debatable aspects, etc.), draw an analytical conclusion based on these key facts
  • Possess sufficient knowledge and competence in finance issues to be able to progress to a career in financial industry or to take on an independent research at a PhD level at a university either at home or abroad
Содержание учебной дисциплины

Содержание учебной дисциплины

  • Market for discount and coupon bonds
    Price risk and default risk; linearity and value additivity; valuation in a single period; and in multiple periods; discount yield and discount price; forward rates; linear and non-linear pricing; coupon effect; duration and convexity
  • Consistent prices and no-arbitrage in bond markets
    Zero-coupon term structure and coupon term structure; discount function; consistent pricing equations; complete coupon bond market model; incomplete coupon bond market model; equivalence theorem; hyperplane separation theorem
  • Consistent prices and no-arbitrage in state contingent markets
    Non-defaultable markets vs state contingent markets; state prices vs date prices; stochastic discount factor model, risk-neutral valuation model; contingent claims valuation model; isomorphism; risk premium within the SDF framework and the risk-neutral framework; price and quantity of risk
  • Spot rate modelling and discount bond valuation
    Log-normal lemma; spot rate dynamic process; SDR dynamic process; Vasicek affine yield model: discrete derivation and critical assessment
  • Portfolio Theory
    Risk aversion and utility function; Jensen’s inequality; absolute and relative risk premium; CARA and CRRA; gambling vs investment; expected utility maximization; monotonic transformation; Mutual fund theorem and Sharpe portfolio separation theorem; portfolio choice with a safe asset and unconstrained optimization; portfolio choice without a safe asset and constrained optimization; minimum variance portfolio and optimal portfolio
  • Capital Asset Pricing Model
    Equilibrium assumption; characteristic line and the beta coefficient; CAPM as a special case of the SDF model; application of CML and SML
Элементы контроля

Элементы контроля

  • Home work (неблокирующий)
  • Graded home assignment (неблокирующий)
    The graded home assignment submitted beyond the deadline is not accepted. A student who fails to submit the graded home assignment and does not have a good excuse will not resubmit it. Rather the grade weight of the final test for this student will be increased to 100%.
  • Final test (неблокирующий)
    A student who fails the final test or misses the final test and does not have a good excuse will not resit it.
Промежуточная аттестация

Промежуточная аттестация

  • Промежуточная аттестация (3 модуль)
    0.4 * Graded home assignment + 0.6 * Final test
Список литературы

Список литературы

Рекомендуемая основная литература

  • The econometrics of financial markets, Campbell J. Y., Lo A. W., MacKinlay A. C., ISBN: 0-691-04301-9, 1997

Рекомендуемая дополнительная литература

  • Asset pricing, Cochrane J. H., ISBN: 0-691-12137-0, 2005
  • Dynamic asset pricing theory, Duffie D., ISBN: 978-0-691-09022-1, 2001