Asset Pricing (2235.YR.000616.1)
General information
Type: |
OPT |
Curs: |
1 |
Period: |
S semester |
ECTS Credits: |
3 ECTS |
Teaching Staff:
| Group |
Teacher |
Department |
Language |
| Year 1 |
Carlo Sala |
Economía, Finanzas y Contabilidad |
ENG |
Prerequisites
Basic finance concepts, basic undergraduate mathematics, statistics and probability
Previous Knowledge
Basic finance concepts, basic undergraduate mathematics, statistics and probability
Workload distribution
Lecture 50%
Independent work 50%
Course Learning Objectives
Asset pricing provides students the necessary tools to trade financial assets.
The course is divided in two parts:
- the first and larger part focuses on the concept of market efficiency/inefficiency,
- the second part focuses on the pricing of particular assets.
Competences
| 9. Adaptability, flexibility |
CONTENT
1. Introduction to asset pricing and the Bloomberg terminal |
2. Market efficiency: theory and tests |
3. Efficiently inefficient market - part I a. Bloomberg Presentation (Portfolio Management) |
4. Efficiently inefficient market - part II |
5. Efficiently Inefficient market - part III In-class presentation (part I) |
6. Introducing the risk of credit In-class presentation (part II) |
7. Credit Derivatives In-class presentation (part III) |
8. Exotic Options |
Methodology
The teaching methodology is a mix of theory and real world examples (cases, readings and similar).
Some class will be in the Finance Lab to learn the use of the Bloomberg terminals
ASSESSMENT
ASSESSMENT BREAKDOWN
| Description |
% |
| Final Exam |
50 |
| Bloomberg Trading Challenge |
25 |
| Trading strategy in class presentation |
15 |
| Class Participation+BMC |
10 |
Assessment criteria
The Final Valuation is determined as follows:
25% Bloomberg Trading Challenge
15% In-class Group Presentation
10% Participation+BMC
50% Final Exam
Important clarifications:
1. To pass the course, a minimum grade of 4 is required on the final exam. If the final exam grade is >4, then the final grade is the weighted average of the four components of the grade:
Final = (0.5*final exam) + (0.25*trading challenge) + (0.20*group presentation) + (0.05*participation)
2. In case a retake exam is needed, the grade will be 100% determined by the retake exam grade.
Bibliography
Basic Bibliography:
- Pedersen L. H., Efficiently Inefficient. How smart money invest & market prices are determined: Princeton University Press, 2018
- Hull, J., Options, Futures and Other Derivatives: Pearson Education, 7, 8 or 9/E, 2011
Additional Bibliography or Materials:
Additional material, lecture notes and financial data will be given in class.
Timetable and sections
| Group |
Teacher |
Department |
| Year 1 |
Carlo Sala |
Economía, Finanzas y Contabilidad |
Timetable Year 1
From 2024/2/9 to 2024/3/22:
Each Friday from 10:30 to 12:00. (Except: 2024/2/16)
Each Friday from 14:15 to 15:45. (Except: 2024/2/16)
Each Friday from 16:00 to 17:30. (Except: 2024/2/16)
Each Friday from 8:45 to 10:15. (Except: 2024/2/16)
From 2024/4/5 to 2024/4/12:
Each Friday from 11:45 to 15:00. (Except: 2024/4/5)
Each Friday from 10:30 to 12:00. (Except: 2024/4/12)
Each Friday from 14:15 to 15:45. (Except: 2024/4/12)
Each Friday from 16:00 to 17:30. (Except: 2024/4/12)
Each Friday from 8:45 to 10:15. (Except: 2024/4/12)
