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Бакалавриат 2022/2023

Финансовые рынки и оценка активов

Направление: 38.03.01. Экономика
Когда читается: 3-й курс, 1-4 модуль
Формат изучения: с онлайн-курсом
Онлайн-часы: 36
Охват аудитории: для своего кампуса
Язык: английский
Кредиты: 8
Контактные часы: 120

Course Syllabus

Abstract

This course is aimed at students who wish to understand how financial markets work and how securities are priced. Using present value techniques, it gives a theoretical treatment of bond and stock valuation including portfolio theory and a development of the Capital Asset Pricing Model. The concept of financial market efficiency is introduced, and evidence for efficiency evaluated. Finally, there is a presentation of derivative pricing using absence of arbitrage arguments. The course is based on lectures, seminars, team work and self-study. “Asset pricing and Financial markets” is a two-semester course.
Learning Objectives

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

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.
Course Contents

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

Assessment Elements

  • non-blocking Class Participation
  • non-blocking Home assignments
  • non-blocking Midterm exam
  • non-blocking Winter Exam
  • non-blocking Final Exam
Interim Assessment

Interim Assessment

  • 2022/2023 2nd module
    0.45 * Winter Exam + 0.25 * Home assignments + 0.1 * Class Participation + 0.2 * Midterm exam
  • 2022/2023 4th module
    0.1 * Home assignments + 0.2 * Midterm exam + 0.2 * 2022/2023 2nd module + 0.4 * Final Exam + 0.1 * Class Participation
Bibliography

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

Presentation

  • Asset pricing and Financial Markets syllabus

Authors

  • DIMOVA ELENA ANATOLEVNA
  • GENG RUNJIE -
  • PERMINOVA MARINA VLADIMIROVNA