Бакалавриат
2022/2023




Модели финансовых операций
Статус:
Курс обязательный (Прикладная математика и информатика)
Направление:
01.03.02. Прикладная математика и информатика
Когда читается:
4-й курс, 1, 2 модуль
Формат изучения:
с онлайн-курсом
Онлайн-часы:
20
Охват аудитории:
для своего кампуса
Преподаватели:
Калягин Валерий Александрович
Язык:
английский
Кредиты:
5
Контактные часы:
56
Course Syllabus
Abstract
As a result of the development of the discipline the student must: • Know the basic theoretical principles of the basic mathematical models of financial transactions; • Be able to use professional computer packages to analyze financial data, compare their capabilities, advantages and disadvantages; • Be able to use software products to solve problems; • Be able to find the necessary information in additional literature; • Be able to use this knowledge to describe and solve problems using the apparatus of mathematical and computer Sciences; • Have practical skills in analyzing real financial data; • To have skills in development and computer implementation of new methods of fi-nancial data analysis. This discipline belongs to the elective part of the professional block of disciplines for bachelor degree. The study of this discipline is based on the fundamental courses "Mathematical analysis", "Linear algebra", "Probability ", "Mathematical Statistics". The main provisions of this course are used in the study of disciplines of the block of decision-making.
Learning Objectives
- The objectives of the course is to get acquainted with the basic mathematical models of financial transactions, the development of skills in working with financial data, the main methods and algorithms of analysis of financial time series
Expected Learning Outcomes
- Be able to calculate Index with PCA method, market portfolio in one index model
- Be able to construct Market portfolio and it’s interpretation
- Be able to use Bi-nomial model for the stock price, formula for the option price
- Formulate and use Arbitrage conditions
- General concepts of stock market modeling
- Use Mean-variance approach
- Use Sharp theory, over evaluated and under evaluated portfolios
Course Contents
- Stock market modeling
- Markowitz Model
- Markowitz-Tobin Model
- Model with one index
- Capital Asset Pricing Model (CAPM)
- Factor model for the market
- Options
Interim Assessment
- 2022/2023 2nd module0.1 * Home work 2 + 0.1 * Home work 1 + 0.1 * Home work 3 + 0.7 * Exam
Bibliography
Recommended Core Bibliography
- Методы и алгоритмы финансовой математики, [монография], пер. с англ. С. В. Жуленева под ред. Е. В. Чепурина, 751 с., Люу, Ю., 2007
Recommended Additional Bibliography
- Tsay, R. S. (2010). Analysis of Financial Time Series (Vol. 3rd ed). Hoboken, N.J.: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=334288