Бакалавриат 2025/2026

Финансовые рынки и оценка активов

Статус: Курс обязательный (Международная программа по экономике и финансам)

Направление: 38.03.01. Экономика

Кто читает: Международный институт экономики и финансов

Где читается: Международный институт экономики и финансов

Когда читается: 3-й курс, 1-4 модуль

Формат изучения: без онлайн-курса

Охват аудитории: для своего кампуса

Преподаватели: Гэн Жуньцзе

Язык: английский

Кредиты: 8

Контактные часы: 120

Course Syllabus

Abstract

This course is aimed at students who wish to understand how financial markets work and how securities are priced. The course allows to build an understanding of bond and stock valuation approaches based on discounted cash flow and no arbitrage approaches. The course proceeds with the analysis of risk-return trade-off, portfolio construction theory (MPT) and factor models (Capital Asset Pricing Model, Fama-French, APT). The course is based on lectures, seminars, teamwork and self-study.

Learning Objectives

• The main objective of the course is to provide a conceptual background for the valuation of financial assets and a professional discussion of asset pricing approaches. The course aims include: 1) comprehending the no-arbitrage condition as a key valuation principle 2) providing students with a thorough grounding in asset pricing 3) developing students’ skills in applying pricing methods to realistic scenarios 4) provide a critical overview of the research on financial markets efficiency 5) developing students’ understanding of how security markets operate.

Expected Learning Outcomes

• 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
• 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.
• o Describe the important differences between stocks and bonds.
• Be familiar with Markowitz portfolio theory.
• o Be familiar with assumptions, application and limitations of CAPM, APT and Fama-French models in estimating asset and portfolio risk and returns.

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

• Autumn midterm
  Midterm examination for module 1 material.
• Winter Midterm
  Midterm examination for modules 1-2 material.
• Spring Midterm
  Midterm examination for module 3 material.
• Final Exam
  Final exam contains questions on topics from 1-4th modules of the study year. The final exam is a blocking element of the total grade: in order to get a passing grade for the course, the student must sit all parts of the examination.
• Semester 1 Home assignments
  Includes several individual assignments.
• Semester 2 Home assignment
  Includes several individual assignments as well as group projects

Interim Assessment

• 2025/2026 4th module
  0.2 * Autumn midterm + 0.3 * Final Exam + 0.025 * Semester 1 Home assignments + 0.025 * Semester 1 Home assignments + 0.025 * Semester 2 Home assignment + 0.025 * Semester 2 Home assignment + 0.2 * Spring Midterm + 0.2 * Winter Midterm

Bibliography

Recommended Core Bibliography

• Vernimmen, P. (2011). Corporate Finance : Theory and Practice (Vol. 3rd ed). Chichester, West Sussex: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=398584

Recommended Additional Bibliography

• Financial markets and corporate strategy, Grinblatt, M., 2002

Authors

• Chistotinova Veronika Andreevna
• Gen Zhuntsze