2026/2027

Основы количественных финансов

Статус: Маго-лего

Кто читает: Отдел сопровождения учебного процесса в магистратуре

Где читается: Факультет экономических наук

Онлайн-часы: 20

Охват аудитории: для своего кампуса

Преподаватели: Артамонов Сергей Юрьевич

Язык: русский

Кредиты: 3

Контактные часы: 32

Программа дисциплины

Аннотация

The purpose of this course is on the one hand to provide students with a vision of the internal structure of financial markets, an understanding of how to measure and predict financial risks; on the other hand to deepen and expand knowledge of existing financial instruments.The course would be interesting and useful to students with strong mathematical backgrounds who wish to develop their skills for quantitative applications in finance.Based on the general principles of constructing mathematical models, students will - learn how to forecast and manage risk and return;- Construct advanced knowledge of the main theoretical and applied concepts in quantitative finance;- Prepare for problems involving development of innovative methods for measuring, or predicting and managing risk;-Apply mathematical and statistical methods to solve finance-related problems, and computationally implement these methods.

Цель освоения дисциплины

• The goals of mastering the discipline “Fundamentals of Quantitative Finance” are to demonstrate to master’s students some approaches in the modern science of finance, aimed at forecasting markets.

Планируемые результаты обучения

• The student must be proficient in the methodology and methodology of conducting scientific research in the professional field; independent research skills.
• The student must know the patterns of functioning and development trends of the national and global financial markets; the main results of the latest research in the field of the theory of finance, their empirical tests, published in leading professional journals on the problems of the theory of finance, financial markets, financial institutions, corporate finance, international finance, risk management;
• The student should be able to apply modern econometric tools for researching financial decisions at the level of a firm, a financial institution, tools and processes in financial markets; substantiate forecasts for the development of firms, financial institutions, processes in financial markets; to model results, efficiency in firms, financial institutions, processes in financial markets.

Содержание учебной дисциплины

• Basic principles of constructing mathematical models.
• Financial data and the basics of R
• Deterministic models. Bonds, Definition and Examples, Zero-Coupon Bonds, Coupon Bonds.
• Time series analysis and forecasting.
• Stochastic models. Discrete Time Models. (B,S)-market.
• Stochastic models. Discrete Time Models. (B,S)-market. Investment portfolio and trading strategies.

Элементы контроля

• Independent work
• Classroom work
• Exam

Промежуточная аттестация

• 2026/2027 3rd module
  0.25 * Independent work + 0.5 * Exam + 0.25 * Classroom work

Список литературы

Рекомендуемая основная литература

• Carmel De Nahlik, & Frank J Fabozzi. (2021). Project Financing: Analyzing And Structuring Projects. World Scientific.
• Fabozzi, F. J. (2002). The Handbook of Financial Instruments. Hoboken, N.J.: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=81949
• Microsoft SQL Server 2005 Analysis Services. OLAP и многомерный анализ данных, Бергер, А., 2007

Рекомендуемая дополнительная литература

• Rachev, S. T. et al. Financial models with Lévy processes and volatility clustering. – John Wiley & Sons, 2011. – 394 pp.
• Анализ данных на компьютере : учеб. пособие для вузов, Тюрин, Ю. Н., 2011

Авторы

• Артамонов Сергей Юрьевич
• Сычева Вера Ивановна