Theory of Finance
- The basic objective of this foundation course in finance is to summarize the fundamental theoretical aspects of finance relevant to the future study of finance and application within the scope of your master’s degree.
- Acquire knowledge in the field of finance theory, decision-making skills in various areas of financial science.
- Acquire the skills of empirical analysis in the field of finance
- Learn about the source of authentic financial and business data
- Learn about main properties of bonds
- Learn about the mean-variance portfolio composition
- Understand CAPM
- Understand main concepts behind pricing and hedging financial derivatives
- Understanding the main concepts behind counterparty credit risks
- Review of financial statements and properties of time value of money
- Review of mean-variance portfolio, CAPM, properties of bonds
- Introduction to financial derivatives. Arbitrage. Binomial model. Hedging.
- Fundamental theorem of asset pricing. Brownian motion
- Black-Scholes formula. Option Hedging. Monte carlo method.
- Credit Risk, Credit Spread, Credit Default Swap
- Credit Value Adjustments
- Value at Risk, Expected Shortfall as Measures of Risk
- Hull, J. C. (2017). Options, Futures, and Other Derivatives, Global Edition. [Place of publication not identified]: Pearson. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1538007
- Maria C. Mariani, & Ionut Florescu. (2019). Quantitative Finance. [N.p.]: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=2291529
- Steven Shreve. (2019). Stochastic Calculus for Finance I : The Binomial Asset Pricing Model (Vol. 2004). Springer.
- Duffie, D., & Singleton, K. J. (2003). Credit Risk : Pricing, Measurement, and Management. Princeton, N.J.: Princeton University Press. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=329732