Asset Pricing and Financial Markets

2024/2025

Учебный год

ENG

Обучение ведется на английском языке

8

Кредиты

Кто читает:

Международный институт экономики и финансов

Статус:

Курс по выбору

Когда читается:

3-й курс, 1-4 модуль

Преподаватели

Гэн Жуньцзе

Зимрутян Гаянэ Аршаковна

Киприянов Алексей Алексеевич

Никишина Алёна Евгеньевна

Перминова Марина Владимировна

Чистотинова Вероника Андреевна

Course Syllabus

Abstract

This course is aimed at students who wish to understand how financial markets work and how securities are priced. The course allows to build an understanding of bond and stock valuation approaches based on discounted cash flow and no arbitrage approaches. The course proceeds with the analysis of risk-return trade-off, portfolio construction theory (MPT) and factor models (Capital Asset Pricing Model, Fama-French, APT). The course is based on lectures, seminars, teamwork and self-study.

Learning Objectives

• The main objective of the course is to provide a conceptual background for the valuation of financial assets and a professional discussion of asset pricing approaches. The course aims include: 1) comprehending the no-arbitrage condition as a key valuation principle 2) providing students with a thorough grounding in asset pricing 3) developing students’ skills in applying pricing methods to realistic scenarios 4) provide a critical overview of the research on financial markets efficiency 5) developing students’ understanding of how security markets operate.

Expected Learning Outcomes

• 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
• 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.
• o Describe the important differences between stocks and bonds.
• Be familiar with Markowitz portfolio theory.
• o Be familiar with assumptions, application and limitations of CAPM, APT and Fama-French models in estimating asset and portfolio risk and returns.

Course Contents

• Introduction to the Course. No arbitrage condition as a basic valuation principle
• Fundamentals of Bond Valuation
• Fundamentals of Stock Valuation
• Risk and Expected Return: Principles of Portfolio Analysis
• Asset Pricing Approaches: CAPM, APT and alternatives
• The role of Efficient Market Hypothesis in Corporate Analysis: Theory and Evidence
• Derivatives Valuation Models

Assessment Elements

• Home assignments Semester 1
• Autumn Control Work
• Winter Control Work
• Spring Control Work
• Final Exam
  In order to get a passing grade for the course, the student must sit (all parts) of the examination and receive a positive (passing) grade for the examination.
• Home assignments Semester 2

Interim Assessment

• 2024/2025 4th module
  0.15 * Autumn Control Work + 0.35 * Final Exam + 0.05 * Home assignments Semester 1 + 0.05 * Home assignments Semester 2 + 0.2 * Spring Control Work + 0.2 * Winter Control Work

Bibliography

Recommended Core Bibliography

• Vernimmen, P. (2011). Corporate Finance : Theory and Practice (Vol. 3rd ed). Chichester, West Sussex: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=398584

Recommended Additional Bibliography

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

Authors

• Gen Zhuntsze
• PERMINOVA MARINA VLADIMIROVNA
• Chistotinova Veronika Andreevna