Бакалавриат
2022/2023
Финансовые рынки и оценка активов
Статус:
Курс обязательный (Международная программа по экономике и финансам)
Направление:
38.03.01. Экономика
Кто читает:
Международный институт экономики и финансов
Где читается:
Международный институт экономики и финансов
Когда читается:
3-й курс, 1-4 модуль
Формат изучения:
с онлайн-курсом
Онлайн-часы:
36
Охват аудитории:
для своего кампуса
Преподаватели:
Гэн Жуньцзе,
Димова Елена Анатольевна,
Зимрутян Гаянэ Аршаковна,
Киприянов Алексей Алексеевич,
Литвинова Дарья Александровна,
Перминова Марина Владимировна,
Шуклина Василиса Олеговна
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
- 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.
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
Interim Assessment
- 2022/2023 2nd module0.45 * Winter Exam + 0.25 * Home assignments + 0.1 * Class Participation + 0.2 * Midterm exam
- 2022/2023 4th module0.1 * Home assignments + 0.2 * Midterm exam + 0.2 * 2022/2023 2nd module + 0.4 * Final Exam + 0.1 * Class Participation
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