Кто читает:: Банковский институт

Статус:: Курс обязательный

Когда читается:: 1-й курс, 1, 2 модуль

Abstract

This course is designed to introduce to students the fundamental issues of the Theory of Finance. It is an in-depth study of what the fundamental properties of key financial instruments are and what techniques based on these properties for appropriate pricing and / or detecting mispricing have been suggested. In addition to a thorough insight into fundamental theoretical concepts the course covers some areas of related applied / quantitative research. Two key types of financial instruments are studied throughout the course, bonds and equities. The course’s focus is on fundamental and advanced concepts as well as applications in asset pricing in bond and equity markets. It investigates into what are approaches to asset pricing when pay-offs are certain (fixed claims) and when pay-offs are uncertain (state contingent claims). The course provides essential knowledge and competence at a postgraduate level to those students who intend to follow careers in applied or quantitative finance, as well as to those students who intend to pursue further research. It would be beneficial for perspective CFA level 2&3 test takers as well.

Learning Objectives

- Developing basic economic and financial analysis skills to make reasonable investment decisions and conduct fundamental research in finance. - Introduction to the most common asset pricing models used by academic researchers and financial market analysts to determine the fair value of various financial instruments. - Understanding the key assumptions and limitations of these models in order to apply them correctly.

Expected Learning Outcomes

- to obtain practical experience in applying and testing the validity of asset pricing models using real quantitative data; - to know how to use various information and data sources to analyze and process data for economic and financial estimations;
- apply basic financial models, understand their features and limitations; - to make efficient investment decisions in uncertainty; - to be able to identify economic problems when analyzing specific types of financial instruments, evaluate the expected results;

Course Contents

Introduction to financial markets
Essentials of financial calculations
Bond pricing
Equity pricing
Risk and return
Portfolio theory
Capital asset pricing model (CAPM)
Factor models and Arbitrage pricing theory (APT)
Empirical multifactor models
Forward and futures pricing
Option pricing
Information and market efficiency

Assessment Elements

Cumulative mark
Cumulative mark = 1/6 * Test 1 + 1/6 * Test 2 + … + 1/6 * Test 6
Group project

Interim Assessment

2023/2024 2nd module
0.5 * Cumulative mark + 0.5 * Group project

Bibliography

Recommended Core Bibliography

Alexander, G. J., Sharpe, W. F., & Bailey, J. V. (2012). Fundamentals of investments. Slovenia, Europe: Prentice Hall. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsbas&AN=edsbas.C1BEBDC4

Recommended Additional Bibliography

Elton, E. J. (2014). Modern Portfolio Theory and Investment Analysis (Vol. Ninth edition). Hoboken, NJ: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1639379
Mishkin, F. S., & Eakins, S. (2016). Financial Markets and Institutions, Global Edition (Vol. Eighth edition, Global edition). Harlow: Pearson. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1419018
Valdez, S., & Molyneux, P. (2015). An Introduction to Global Financial Markets: Vol. 8th ed. Palgrave Macmillan.

Магистерская программа «Финансы»

Theory of Finance

Course Syllabus