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Магистратура 2023/2024

Теория финансов

Лучший по критерию «Полезность курса для расширения кругозора и разностороннего развития»
Лучший по критерию «Новизна полученных знаний»
Направление: 38.04.01. Экономика
Когда читается: 2-й курс, 1 модуль
Формат изучения: без онлайн-курса
Охват аудитории: для всех кампусов НИУ ВШЭ
Прогр. обучения: Прикладная экономика и математические методы
Язык: английский
Кредиты: 3
Контактные часы: 24

Course Syllabus

Abstract

Essentially the course is an introduction to the theory and practice theory of modern financial economics and financial management, with a focus on capital markets and investments, and quantitative finance. It will introduce you to, or help you revise, the basic fundamentals – the most important concepts and analytical tools used in financial decision making, the important role of financial markets in finance, the basic principles of valuation, investing capital in investment opportunities to create value, the meaning and management of risk, and how organizations should raise and invest capital. The course consists of lectures (28 hours) and seminars (28 hours). The seminars involve student presentations (individually or in small groups) of contemporary research on financial system, Theory of Change in finance, corporate and public finance, financial management published in leading economics and finance journals. For each topic, a list of suggested articles is provided by the instructor.
Learning Objectives

Learning Objectives

  • The basic objective of this foundation course in finance is to summarize the fundamental theoretical aspects of finance relevant to the future study of finance and application within the scope of your master’s degree.
  • Acquire knowledge in the field of finance theory, decision-making skills in various areas of financial science.
  • Acquire the skills of empirical analysis in the field of finance
Expected Learning Outcomes

Expected Learning Outcomes

  • Learn about the source of authentic financial and business data
  • Learn about main properties of bonds
  • Learn about the mean-variance portfolio composition
  • Understand CAPM
  • Understand main concepts behind pricing and hedging financial derivatives
  • Understanding the main concepts behind counterparty credit risks
Course Contents

Course Contents

  • Review of financial statements and properties of time value of money
  • Review of mean-variance portfolio, CAPM, properties of bonds
  • Introduction to financial derivatives. Arbitrage. Binomial model. Hedging.
  • Fundamental theorem of asset pricing. Brownian motion
  • Black-Scholes formula. Option Hedging. Monte carlo method.
  • Credit Risk, Credit Spread, Credit Default Swap
  • Credit Value Adjustments
  • Value at Risk, Expected Shortfall as Measures of Risk
Assessment Elements

Assessment Elements

  • non-blocking Homework assignments
  • non-blocking Midterm
  • non-blocking Final
Interim Assessment

Interim Assessment

  • 2023/2024 1st module
    0.3 * Final + 0.4 * Homework assignments + 0.3 * Midterm
Bibliography

Bibliography

Recommended Core Bibliography

  • Hull, J. C. (2017). Options, Futures, and Other Derivatives, Global Edition. [Place of publication not identified]: Pearson. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1538007
  • Maria C. Mariani, & Ionut Florescu. (2019). Quantitative Finance. [N.p.]: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=2291529
  • Steven Shreve. (2019). Stochastic Calculus for Finance I : The Binomial Asset Pricing Model (Vol. 2004). Springer.

Recommended Additional Bibliography

  • Duffie, D., & Singleton, K. J. (2003). Credit Risk : Pricing, Measurement, and Management. Princeton, N.J.: Princeton University Press. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=329732