2025/2026
Финансовая экономика: Финансовые рынки
Статус:
Маго-лего
Кто читает:
Международный институт экономики и финансов
Когда читается:
3, 4 модуль
Охват аудитории:
для своего кампуса
Язык:
английский
Контактные часы:
82
Course Syllabus
Abstract
Prerequisites: microeconomics (concepts of utility functions, constraint utility maximization, market clearing), a good understanding of calculus, algebra, and basic probability theory. This course gives an introduction to the economics and mathematics of financial markets. Being the first course in finance within the ICEF Master Programme in Financial Economics, it introduces the students to the relevant modeling techniques for asset pricing. This will be useful for later courses in Corporate Finance, Fixed Income, Derivatives and Risk Management. The course introduces to the two pricing principles: absence of arbitrage and equilibrium based on individual optimality. The first principle is especially useful for pricing derivative instruments (e.g. an option contract) whenever we know (or assume to know) the dynamics of the price of the underlying asset (e.g. a stock). In order to price the whole universe of financial assets, however, we need to investigate how investors choose their consumption and the composition of their investment portfolios (individual optimality) and how the coordination of these investors on the financial markets leads to the formation of prices (equilibrium analysis). Most of the course covers one-period models and dynamic models in discrete time. However, some equilibrium models are presented in continuous time since this makes them more tractable and they have more elegant solutions. Option pricing in continuous time is left for the 2nd year course in Derivatives. Although the focus of the course is on theory, we shall comment on some empirical evidence and on how these theories are used in financial practice.