Master
2024/2025![Learning Objectives](/f/src/global/i/edu/objectives.svg)
![Expected Learning Outcomes](/f/src/global/i/edu/results.svg)
![Course Contents](/f/src/global/i/edu/sections.svg)
Advanced Topics in Asset Pricing and Asset Allocation
Type:
Compulsory course (Financial Markets and Institutions)
Area of studies:
Finance and Credit
Delivered by:
Department of Financial Market Infrastructure
Where:
Faculty of Economic Sciences
When:
2 year, 1, 2 module
Mode of studies:
offline
Open to:
students of one campus
Instructors:
Victoria Rodina
Master’s programme:
Financial Markets and Financial Institutions
Language:
English
ECTS credits:
6
Contact hours:
40
Course Syllabus
Abstract
The course provides an in-depth study of theoretical and research perspectives that are central to the area of asset pricing. Students will have an advanced acquaintance with the ideas, approaches, methods, and techniques conceived by the greatest names in finance theory. The emphasis is on blending theoretical underpinnings and real-life considerations. It is expected that, with the knowledge and insights obtained throughout the course, students will develop framework thinking regarding equilibrium pricing that will help them to formulate research questions, apply mathematical and statistical tools, and find solutions in the most coherent manner.
The course provides knowledge and insights at a postgraduate level to those students who intend to follow careers in the finance industry, as well as to those students who intend to pursue further research. Also, the course will be useful for prospective CFA level 1-3 test takers.
Learning Objectives
- To enhance students’ understanding of core concepts and core challenges of finance theory.
- To increase students’ proficiency in formulating and solving asset pricing questions by applying elaborate mathematical and statistical models.
- To improve students’ ability to blend disciplinary and interdisciplinary knowledge that strengthens students’ background for both professional practice and scholarly research.
Expected Learning Outcomes
- To review, in a comprehensive manner, the development of the general asset pricing paradigm; outline its strengths and weaknesses.
- To demonstrate critical thinking and problem-solving skills applicable to real-life finance practices.
- To clearly articulate on how the interplay of theory and practice drives the development of financial markets.
Course Contents
- I Non-defaultable government bonds
- II Consistent prices and no-arbitrage in bond markets
- III Consistent prices and no-arbitrage in state contingent markets
- IV Spot rate modelling
- V Utility theory
- VI Portfolio optimization