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73132-01 - Vorlesung: Advanced Asset Pricing I 3 KP

Semester Herbstsemester 2024
Angebotsmuster Jedes Herbstsemester
Dozierende Yvan Lengwiler (yvan.lengwiler@unibas.ch, BeurteilerIn)
Inhalt This class is for masters students who are interested in Finance. The aim of this course is to empower you to "do finance" in a hands-on and relevant way. So you will get your hands dirty. In my mind, this is a good thing. We will program in R and use Github to share code. I assume you are familiar with R. Don't worry if you have not worked with Github before; you will learn this in this course.

We then start our exploration of finace by exploring some statistical characteristics of equity prices.
We will explore the distribution of returns at high frequency (daily observation) and at lower (monthly) frequency and ponder about the reasons for the qualitative differences that we can observe.

After that, we study the mechanics of diversification. This is a fundamental staple of investment management. We will explore how this idea is used in practive and you will be asked to develop a computer program that can compute an efficient frontier with different constraints.

Next, we turn our attention toward financial derivatives. To price derivatives correctly, we will first study the concept of "Arrow securities," or, equivalently, "risk-neutral densities." This is the basic concept that underlies all of modern asset pricing theory. In this context, we will also learn how to simulate a (risk-neutral or physical) process. Monte-Carlo simulations are like a "Swiss Army Knife" of quantitative finance. It pays to be proficient with this method.

Finally, we will learn about the term structure of interest rates. It is difficult to overestimate the importance of interest rates. Understanding them is a key ingredient of any investment or risk management task.

Now, a big CAVEAT is in order here: This is the first time I will give this course.
It is possible that this list of topics is too much.
If that is the case, I will cut some material.
It is more important that you get a few methods and insight correctly than throwing a bunch of stuff at you that you cannot digest.
So do not worry if you feel that this appears to be more material than you can chew.
Lernziele Allow you to do finance hands-on. Coding in R is involved. You also get to work with gut and Guthub.
Literatur TBD
Bemerkungen The course will take place in the second first of the semester, on Thursdays from Oct 31 to Dec 12, in the time span of 2:15 to 6:00 pm. Most of the course (but not all) will be via Zoom.

IMPORTANT: The first lecture will be at the University (not by Zoom). Bring your laptops with you and make sure that you can be online during class (make sure that eduroam wifi works for you). Also, you need root access (an admin account) because we will install a bit of software together.


Teilnahmebedingungen Required: Math and Statistics

It is assumed that you know statistics and econometrics at the level of a Bachelor of economics.
The minimum skills required are
* 23346 "Statistics"
* 10135 "Mathematics I"
* 10172 "Introduction to Econometrics"
More is better.

Recommended: Finance

Your previous knowledge of Finance is maybe of lesser importance, although you should be comfortable with discounting or computing the present value of a cash flow stream. If you have passed
* 10146 "Finance Theory I"
you are more than qualified.

Required: Computer Science

You should have had at least some exposure to programming, preferrably in R. If you also know git and Github, that is an advantage. If you have some gaps in computer science topics, you should participate in the introductory course on programming that the group of Dietmar Maringer offers at the beginning of the semester.
* Crash course: Working with scientific software ([link](https://wwz.unibas.ch/en/faculty/people/maringer-dietmar-computational-economics-and-finance/teaching/vorkurs-arbeiten-mit-wissenschaftlicher-software/))
Anmeldung zur Lehrveranstaltung Registration: Please enroll in the Online Services (services.unibas.ch);

Eucor-Students and mobility students of other Swiss Universities or the FHNW first have to register at the University of Basel BEFORE the start of the course and receive their login data by post (e-mail address of the University of Basel). Processing time up to a week! Detailed information can be found here: https://www.unibas.ch/de/Studium/Mobilitaet.html
After successful registration you can enroll for the course in the Online Services (services.unibas.ch).

Applies to everyone: Enrolment = Registration for the course and the exam!
Unterrichtssprache Englisch
Einsatz digitaler Medien Online-Angebot obligatorisch


Intervall Wochentag Zeit Raum
wöchentlich Donnerstag 14.15-18.00 Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31


Datum Zeit Raum
Donnerstag 19.09.2024 14.15-18.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31
Donnerstag 26.09.2024 14.15-18.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31
Donnerstag 03.10.2024 14.15-18.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31
Donnerstag 10.10.2024 14.15-18.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31
Donnerstag 17.10.2024 14.15-18.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31
Donnerstag 24.10.2024 14.15-18.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31
Module Modul: Core Courses in Finance and Money (Masterstudium: Finance and Money)
Modul: Core Courses in Finance, Controlling, Banking (Masterstudium: Wirtschaftswissenschaften)
Modul: Fachlich-methodische Ausbildung (Promotionsfach: Staatswissenschaften)
Modul: Field Electives in Finance and Money (Masterstudium: Finance and Money)
Modul: Specific Electives in Business and Economics (Masterstudium: Wirtschaftswissenschaften)
Modul: Specific Electives in Finance, Controlling, Banking (Masterstudium: Wirtschaftswissenschaften)
Spezialisierungsmodul: Areas of Specialization in International and/or Monetary Economics (Masterstudium: International and Monetary Economics)
Leistungsüberprüfung Leistungsnachweis
Hinweise zur Leistungsüberprüfung The course provides 3 credits upon successful completion.

1/3 of the final grade will be determined by your participation during the lectures and the work you hand in.
Please note: If you are unsuccessful in solving a problem, that is totally ok. What we require is only that you seriously try.

2/3 of the final grade will be determined by a written final exam. The tasks of the final exam will be formulated in English, but can be answered in English or German. The tasks will likely contain some programming work.
An-/Abmeldung zur Leistungsüberprüfung Anm.: Belegen Lehrveranstaltung; Abm.: stornieren
Wiederholungsprüfung keine Wiederholungsprüfung
Skala 1-6 0,1
Wiederholtes Belegen beliebig wiederholbar
Zuständige Fakultät Wirtschaftswissenschaftliche Fakultät / WWZ, studiendekanat-wwz@unibas.ch
Anbietende Organisationseinheit Wirtschaftswissenschaftliche Fakultät / WWZ