2025/2026

Asset Pricing and Financial Markets 2

Type: Minor

Delivered by: International College of Economics and Finance

Where: International College of Economics and Finance

Open to: students of all HSE University campuses

Instructors: Marina Perminova

Language: English

ECTS credits: 5

Contact hours: 56

Course Syllabus

Abstract

This course is the continuation of "Asset Pricing and Financial Markets 1" and is aimed at students who wish to understand how financial markets work and how securities are priced using no-arbitrage methods and market efficiency concepts. It focuses on the Efficient Market Hypothesis and valuation of derivative securities without repeating topics covered in the first semester.

Learning Objectives

• The main objective of the course is to deepen students' understanding of asset pricing approaches based on absence of arbitrage and market efficiency, and to develop practical skills in pricing and using derivative instruments. The course is based on lectures, seminars, teamwork and self-study.

Expected Learning Outcomes

• apply Black-Scholes formula
• 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
• explain under which conditions efficiency may not fully hold
• Outline the purpose of derivative products; know the most common ones

Course Contents

• The role of Efficient Market Hypothesis in Corporate Analysis: Theory and Evidence
• Derivatives Valuation Models

Assessment Elements

• Spring Midterm
  Midterm examination for module 3 material (Efficient Market Hypothesis and basic derivatives pricing).
• Home assignments
  Includes several individual assignments (problem sets) and, if applicable, small group tasks on derivatives valuation and EMH applications.
• Final Exam
  Final exam contains questions on topics from 3–4th modules of the study year (Efficient Market Hypothesis and Derivatives Valuation Models). The final exam is a blocking element of the total grade: in order to get a passing grade for the course, the student must sit all parts of the examination.

Interim Assessment

• 2025/2026 4th module
  0.61 * Final Exam + 0.1 * Home assignments + 0.29 * Spring Midterm

Bibliography

Recommended Core Bibliography

• Corporate Finance: Theory and Practice / Pierre Vernimmen, Pascal Quiry, Maurizio Dal-locchio, Yann Le Fur, Antonio Salvi. – 5th ed. – Chichester: John Wiley & Sons Ltd, 2018. – 1010 p.

Recommended Additional Bibliography

• Financial markets and corporate strategy, Grinblatt, M., 2002

Authors

• Chistotinova Veronika Andreevna