Financial Economics

2023/2024

Учебный год

ENG

Обучение ведется на английском языке

4

Кредиты

Кто читает:

Международный институт экономики и финансов

Статус:

Курс по выбору

Когда читается:

3-й курс, 1, 2 модуль

Преподаватели

Бахтиева Камилла Азаматовна

Гэн Жуньцзе

Course Syllabus

Abstract

Pre-requisites: It is assumed that students taking the class have some knowledge in the following courses: Introduction to Microeconomics, Probability Theory and Statistics, Mathematics for Economists. Abstract: This course aims to build a bridge between the economic knowledge the students acquired previously to the principles of asset pricing in finance. First part of the course, starting from knowledge about choices and utility in microeconomics, we will introduce how one can make optimal choices when we introduce financial markets. We will expend from microeconomics in two dimensions: first we introduce the concept of dynamic programming and show how to optimize in dynamic models; second, with the knowledge (only basic needed) of probability theory, we show how to optimize in stochastic models. Second part of the course, we introduce the concept of competitive equilibrium. We will show through simply examples how are the prices of financial assets decided when everyone tries to optimize his or her own utility. We will use simple concrete examples to illustrate relatively abstract concepts that are potentially used in later study or in the financial industry. Those abstract concepts include what is arbitrage; what is risk and uncertainty; what is relative and absolute risk aversion; what are Arrow securities; what are complete markets; and etc. The exercises and the exam of the course will be testing if the students could fully understand the concepts covered in the course and figure out asset prices in simple example-economies.

Learning Objectives

• • to expand the students’ knowledge in the field of financial economics and develop skills for analysis of real economic situations with financial markets;
• • to provide students with the knowledge of basic financial economics models' assumptions, internal logic and predictions, grounding the explanations on intuitive and graphical approach with addition of some algebra, microeconomics, and probability theory studied in the courses before;
• • to develop the students' ability to apply the knowledge acquired to the analysis of specific economic cases, recognizing the proper framework of analysis and constructing the adequate economic models within this framework

Expected Learning Outcomes

• Derive formulas from two-period models to multi-period models.
• Explain basic concepts used throughout the course.
• Explain basics of dynamic programming
• Find no arbitrage prices.
• Solve for asset prices and returns for some special cases.
• Solve for asset prices and returns with complete financial markets.
• Solve for asset prices and returns with incomplete financial markets. (special cases)
• Solve for asset prices and returns.
• Solve for real interest rates with two persons in the economy.

Course Contents

• 1. Introduction to financial economics.
• 2. Competitive equilibrium with financial markets
• 3. Two period models.
• 4. Real interest rate models.
• 5. Expected utility.

Assessment Elements

• Midterm test
• Homework Assignment
• Winter exam

Interim Assessment

• 2023/2024 2nd module
  0.2 * Homework Assignment + 0.25 * Midterm test + 0.55 * Winter exam

Bibliography

Recommended Core Bibliography

• Hens, T. Financial Economics: A Concise Introduction to Classical and Behavioral Finance / Thorsten Hens, Marc Oliver Rieger. – 2nd ed. – Berlin: Springer-Verlag, 2016. – (Springer Texts in Business and Economics). - Текст: электронный // DB Springer Books [сайт]. – URL: https://link.springer.com/book/10.1007/978-3-662-49688-6

Recommended Additional Bibliography

• Principles of financial economics, Leroy, S.F., 2001

Authors

• GENG RUNJIE -