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Бакалавриат 2022/2023

# Оценка активов и финансовые рынки

Статус: Курс по выбору (Прикладной анализ данных)
Направление: 01.03.02. Прикладная математика и информатика
Когда читается: 4-й курс, 1-3 модуль
Формат изучения: без онлайн-курса
Охват аудитории: для своего кампуса
Преподаватели: Виноградова Вероника Сергеевна
Язык: английский
Кредиты: 7
Контактные часы: 104

### Course Syllabus

#### Abstract

This course is aimed at students who wish to understand how financial markets work and how securities are priced. Using present value techniques, it gives a theoretical treatment of bond and stock valuation including portfolio theory and a development of the Capital Asset Pricing Model. The concept of financial market efficiency is introduced, and evidence for efficiency evaluated. Finally, there is a presentation of derivative pricing using absence of arbitrage arguments. The course is based on lectures, seminars, team work and self-study. “Asset pricing and Financial markets” is a two-semester course.

#### Learning Objectives

• Сomprehending the no-arbitrage condition as a key valuation principle
• Providing students with a thorough grounding in asset pricing
• Developing students’ skills in applying pricing methods to realistic scenarios
• Provide a critical overview of the research on financial markets efficiency
• Developing students’ understanding of how security markets operate.

#### Expected Learning Outcomes

• Outline the purpose of derivative products; know the most common ones
• Present, explain and apply the Capital Asset Pricing model for computing expected stock returns.
• Apply Black-Scholes formula
• Apply present value techniques to price stocks and bonds
• Be able to put the notion of pricing by replication under absence of arbitrage in practice for simple contracts like forwards and in the binomial tree model
• Define the EMH and explain what it means in practice
• Describe the important differences between stock, bond and derivative securities.
• Employ mathematical tools to compute risk and return for portfolios of securities.
• Evaluate portfolio choice problems.
• Explain how to price assets using both present value and absence of arbitrage methods.
• Explain under which conditions efficiency may not fully hold

#### Course Contents

• Introduction to the course and its basic principles
• Understanding and pricing government bonds
• Valuation of stocks
• Risk, returns and stock portfolios
• Portfolio theory and the CAPM
• Market efficiency
• Derivative securities and derivative pricing

• Quizzes
• Cases
• Test
• Seminars
• Midterm exam
• Final exam

#### Interim Assessment

• 2022/2023 2nd module
0.25 * Quizzes + 0.2 * Test + 0.3 * Midterm exam + 0.25 * Seminars
• 2022/2023 3rd module
Final grade = 0,1 Quizes + 0,05 Test + 0,15 Seminars + 0,1 Cases + 0,2 MidTermExam + 0,4 FinalExam

#### Recommended Core Bibliography

• Corporate finance, Berk, J., 2014

#### Authors

• VINOGRADOVA VERONIKA SERGEEVNA