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10634-01 - Vorlesung: Intermediate Finance (6 KP)
| Semester | Herbstsemester 2014 |
| Angebotsmuster | Jedes Herbstsemester |
| Dozierende | Bastian Jörg Bergmann (bastian.bergmann@unibas.ch, BeurteilerIn) |
| Inhalt | This course provides a treatment of selected topics of intermediate capital market theory: the main theme is the presentation of major results in asset pricing, portfolio theory, and hedging from the perspective of state-preference theory. The main outline of the course is as follows: - Part one: basic formulation of state preference theory, no-arbitrage pricing, martingale probabilities, economic interpretation of discount factors, relation between discount factors, betas and mean-variance frontiers. - Part two: estimation and evalution of asset pricing models. - Part three: continuous time. Introduction to Brownian Motion, Ito-Lemma, Girsanov-Theorem, Black-Scholes, Heath-Jarrow-Morton. |
| Lernziele | Our main goal is that students get to know the symbioses of mathematical concepts and financial theory. First, students should be able to use basic concepts of linear algebra to model a simple two-state one period model of a financial market. Second, students should be able to understand the formalization of the relationship between "consume more now" and "invest now to get more in the future" in a stochastic discount factor approach. Third, students should be able to use basic concepts of stochastic calculus to model price dynamics from the standpoint of a market without opportunities for arbitrage. Finally, students learn to use the mathematical concepts in order to solve basic exercises. |
| Literatur | For more information, news and further lecture notes please continuously check our website http://www.wwz.unibas.ch/finance. |
| Bemerkungen | |
| Weblink | Weblink |
| Teilnahmevoraussetzungen | completed Bachelordegree in Business and Economics. Basic finance knowledge (portfolio theory, asset pricing, option pricing theory) and some basic microeconomics background is required. Moreover, solid mathematical skills are advantageous. |
| Anmeldung zur Lehrveranstaltung | Registration: Please enrol in MOnA. EUCOR-Students have to enrol at the students administration office (studsek@unibas.ch) within the official enrolment period. Enrolment = Registration for the exam! |
| Unterrichtssprache | Englisch |
| Einsatz digitaler Medien | kein spezifischer Einsatz |
| HörerInnen willkommen |
| Intervall | Wochentag | Zeit | Raum |
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Keine Einzeltermine verfügbar, bitte informieren Sie sich direkt bei den Dozierenden.
| Module |
Spezialisierungsmodul: Areas of Specialization in International and/or Monetary Economics (Master International and Monetary Economics) Vertiefungsmodul Monetary Economics and Financial Markets (Master Wirtschaftswissenschaften) |
| Prüfung | Semesterendprüfung |
| Hinweise zur Prüfung | Credit Points: 6 ECTP. Grading is based on one homework set (weighted 20%) and a written final exam (weighted 80%). Written exam: 11.12.14; 14:00 -16:00. WWZ Auditorium: A-Z. You can still withdraw from the examination by submitting a completed, signed form to our office from 14.10.14 until 24.10.14 / 12:00 o’clock. Withdrawals sent by email will not be accepted. You will find the examination withdrawal form on the Homepage of the Student Dean’s Office. Prior to 13.10.14, please only use MONA for withdrawing. |
| An-/Abmeldung zur Prüfung | Anmeldung: Belegen |
| Wiederholungsprüfung | keine Wiederholungsprüfung |
| Skala | 1-6 0,1 |
| Belegen bei Nichtbestehen | beliebig wiederholbar |
| Zuständige Fakultät | Wirtschaftswissenschaftliche Fakultät / WWZ, studiendekanat-wwz@unibas.ch |
| Anbietende Organisationseinheit | Finanzmarkttheorie |