Master's Programme in Business Administration (5 years)
Language of instruction
Bachelor level courses in Mathematics, Statistics, Investment and Finance SE-412 Quantitative Financial Economics or equivalent.
Upon successful completion of this course students should have a solid understanding of the theoretical foundations of contemporary financial theory, in particular:
tradeoff between risk and reward
optimal capital allocation between the risky and risk-free assets
mathematics of mean-variance portfolio theory and construction of efficient portfolios
capital market equilibrium and the capital asset pricing model
arbitrage pricing theory and multifactor models
portfolio performance measurement
absence of arbitrage condition in pricing of derivative securities
continuous-time Black-Scholes model for option pricing
valuation of different types of options using binomial trees
The aim of the course is to provide a detailed treatment of the main theoretical foundations of the modern financial theory. The course presents in-depth coverage of the mean-variance portfolio theory, capital asset pricing model (CAPM), arbitrage pricing theory (APT), and Black-Scholes option pricing theory. A particular emphasis is placed on the derivation of the theoretical asset pricing models and a rigorous mathematical argumentation.
The course consists of lectures and group-work sessions. Estimated workload is about 200 hours.
Approved mandatory assignments. More information will be given in Canvas at the start of the semester.
Assessment methods and criteria
4-hour written examination with letter grades.
The study programme manager, in consultation with the student representative, decides the method of evaluation and whether the courses will have a midterm- or end of term evaluation, see also the Quality System, section 4.1. Information about evaluation method for the course will be posted on Canvas.