Бакалавриат
2023/2024
Оценка активов и финансовые рынки
Статус:
Курс по выбору (Прикладной анализ данных)
Направление:
01.03.02. Прикладная математика и информатика
Где читается:
Факультет компьютерных наук
Когда читается:
4-й курс, 1-3 модуль
Формат изучения:
без онлайн-курса
Охват аудитории:
для своего кампуса
Преподаватели:
Сальковский Иван Александрович
Язык:
английский
Кредиты:
6
Контактные часы:
96
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
- Сomprehending the no-arbitrage condition as a key valuation principle
- Providing students with a thorough grounding in asset pricing
- Developing students’ skills in applying pricing methods to realistic scenarios
- Provide a critical overview of the research on financial markets efficiency
- Developing students’ understanding of how security markets operate.
Expected Learning Outcomes
- 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.
- 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
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
- Homework - modules 1-2Home assignments are solved individually.
- Winter Exam
- Midterm exam 1: In-class assignment
- Homework - module 3Home assignments are solved individually.
- Final Exam
