FACULTY OF ECONOMICS
MASTER OF SCIENCE IN FINANCE
MAJOR IN FINANCIAL ANALYSIS
Course Content – 2008‐2009
Core Courses
Asset Pricing
Derivatives
Econometrics
Financial Accounting
COURSE DESCRIPTION 2008-2009
Faculty of Economics www.unine.ch/secoAsset Pricing
Characteristics 6 ECTS creditsCore for Master in Finance Autumn semester
course: 3 hours, exercices: 1 hour Evaluation: 2-hour written exam Prerequisite : --
Teaching Team
Professor Michel Dubois Institute of Financial Analysis
Pierre-à-Mazel 7, CH-2000 NEUCHATEL ℡+41 32 718 1366 - [email protected]
Mesrop Janunts, teaching assistant, PhD candidate in finance Institut d’analyse financière
Pierre-à-Mazel 7, CH-2000 NEUCHATEL
℡+41 32 718 1309 - [email protected]
Objectives
The objective of the course is to review, deepen and expand the student’s understanding of the key ideas behind modern asset pricing and cash flow valuation theory. The major themes of the theory will be covered in a rigorous way but with no claim to generality. While a vision of the uses made of these theoretical developments in applied finance will be maintained throughout, this is a ’theory’ course taught in a university environment: a minimum of intellectual curiosity is expected from all participants. The course assumes a good preliminary knowledge of introductory finance at the Brealey - Myers level as well as fluency in calculus.
Students will be aware of the main dimensions of the theoretical core of the discipline and will have the tools to read frontier articles and to follow the development of the literature.
Content
We will first discuss the optimal consumption and investment decisions in a one period model under uncertainty and risk aversion. This will lead us to the construction of a static equilibrium model of financial assets valuation: the Capital Asset Pricing Model (CAPM). We will then move on to arbitrage based valuation by introducing the concept of Arrow-Debreu securities and equivalent martingale measures. We will derive a general arbitrage based valuation methodology: the Arbitrage Pricing Theory (APT). Finally we will derive a dynamic equilibrium model: the Consumption-Cased Asset Pricing Model (C-CAPM). We will emphasize the link between the different approaches discussed in class and show that there are, in fact, different specifications of the same equation, namely a characterization of the stochastic discount factor.
Exercices
Exercices are practical implementations of the theory exposed in class.
Textbooks
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Slides and exercices available from Jean-Pierre Danthine’s website:
http://www.hec.unil.ch/jdanthine/Financial%20theory.htm
Additional references:
Copeland and Weston, Financial Theory and Corporate Policy, 3rd edit., Addison-Wesley Allaz and Dumas, Financial Securities: Market Equilibrium and Pricing Methods, 1st ed., South-Western College Publishing, 1996
Levy and Sarnat, Capital Investment and Financial Decisions, Prentice Hall, New York, 4th edition, 1990
Allen and Gale, Financial Innovation and Risk Sharing, The MIT Press, Cambridge, Mass. 1994
COURS
COURS
COURS
COURSE DESCRIPTION
E DESCRIPTION
E DESCRIPTION 200
E DESCRIPTION
2008
200
200
8
8----200
8
200
2009
200
9
9
9
Faculty of Economics www.unine.ch/secoDerivatives
Characteristics 6 ECTS credits Core for Master in Finance Autumn semester Course: 4 hours Evaluation: written mid-term and final exams (2 hours each) Prerequisite : -- Teaching Prof. Patrick Roger (University Louis Pasteur, Strasbourg)c/o Institut d’analyse financière
Pierre-à-Mazel 7, CH-2000 NEUCHATEL
℡+41 32 718 1350 - [email protected]
Objectives
Learning the basics on derivatives, especially forward, futures and options. Understanding the mechanics of derivative markets, the valuation models, the by-products of these models (usually called the greeks) and their use in portfolio and risk management.Content
Futures, forward and option contracts: definition and characteristics Static strategies: speculation, hedging and arbitrage Option valuation models: Cox-Ross-Rubinstein and Black-Scholes The greeks and their use in dynamic strategies ExercicesExercises are selected in the references hereafter. They allow to check the good understanding of the theory and illustrate some empirical phenomena.
Textbooks
J.C. Hull: Options, futures et autres actifs dérivés, 6ème édition, Pearson Education, chapitres 1 à 15 (2006) J. C. Hull: Options, futures and other derivatives, 6th edition, Pearson, Prentice Hall, chapters 1 to 15 (2007)
COURSE DESCRIPTION 2008-2009
Faculté des sciences économiques
www.unine.ch/seco
Econometrics
Characteristics
Master in Finance, Major in Financial Analysis (core) 6 ECTS credits
Autumn semester
Course : 2 hours, exercises : 2 hours
Evaluation: final exam of 1h45 during the last course Prerequisite : --
Teaching Team
Prof. Yves Tillé Institute of Statistics
Pierre-à-Mazel 7, CH-2000 NEUCHATEL ℡+41 32 718 14 75 - [email protected] Anthea Monod, PhD assistant
Institute of Statistics
Pierre-à-Mazel 7, CH-2000 NEUCHATEL ℡+41 32 18 13 14 - [email protected]
Objectives
At the end of the course, the student must be able to model financial times series by means of modern statistical techniques.
Content
The course Econometrics (for finance) is dedicated to students of the Master of Science in Finance of the University of Neuchâtel. The first part of the course includes: a reminder of the basic concepts of probability, probability distribution and random variables. Next the basic notions of inferential statistics are presented in the framework of the general linear model. The least square method and the maxi-mum likelihood method are also discussed. The second part is dedicated to the analysis of time se-ries. In the first part, the basic methods are presented: smoothing, moving averages, lag operators, deseasonalization. Finally, the time series are modelled by means of the ARMA methods and the ARCH and GARCH methods that are specific for times series in finance (ARCH and GARCH models).
Exercices
Exercises are put into practice based on the theory taught during the course.
Textbooks
Chris Brooks (2002). Introductory Econometrics for Finance, Cambridge, Cambridge Uni-versity Press.
COURS
COURS
COURS
COURSE DESCRIPTION 2008
E DESCRIPTION 2008
E DESCRIPTION 2008----2009
E DESCRIPTION 2008
2009
2009
2009
Faculty of Economics www.unine.ch/secoFinancial Accounting
Characteristics 6 ECTS credits Core for Master in Finance Autumn semester courses: 4 hours/week Evaluation: 2-hour final exam: 1/2 2 hour mid term exam: 1/4paper presentation and resume: 1/4
Prerequisite : basic financial accounting rules and techniques Teaching Prof. Entela Lula Vallatc/o Institute of Financial Analysis
Pierre-à-Mazel 7, CH-2000 NEUCHATEL
℡+41 32 718 1350 - [email protected]
Objectives
The aim of this course is to provide knowledge and skills for analyzing accounting information. By the end of this course, students will:
1. have an understanding of the function of financial accounting within organizations and understand the way in which performance of a business is reported
2. be aware of the limitations of accounting information for use by both internal and external users 3. have an overview of the major theories used in current accounting research
4. be able to use accounting theory to evaluate the current financial reporting environment
This course rests on a user perspective of financial statements and is therefore well suited for participants who expect to be active users of financial statements as part of their professional responsibilities. Students with prospective careers in the preparation and auditing of financial statements will also benefit from a deeper understanding of the use of financial information.
Content
The first part of this course focuses on the financial reporting process from a practical perspective. Specifically, we consider how public companies do report on their financial performance, according to the prescriptions of the International Accounting Standards Board (IASB).
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The second part of this course questions the financial reporting process from a theoretical perspective. We put the emphasis on discussing the contribution of accounting theories – especially those, which examine the role of financial accounting in companies’ decision-making.
Prerequisites and teaching methods
Students have to be familiar with basic financial accounting rules and techniques, including those for consolidations.
The course objectives are reinforced through the course reading materials, assigned problems, in class problem solving and class discussions. Each student will have 20 to 30 minutes to present a paper. She or he will have to write a 5-page resume demonstrating her (his) ability to understand and explain the main contributions of the paper under study. The resume will be available to other students through the Claroline portal.
Assessment
Assessment is based on a paper presentation, a 120 minute written mid term examination and a 120 minute written examination at the end of the term.
Textbooks
International financial reporting standards, IASB, 2007 Scott, W., Financial Accounting Theory, 3e, Prentice-Hall, 2003. Watts and J. Zimmerman, Positive Accounting Theory, 2e, Prentice-Hall, 1986. Deegan C. & Unerman J., Financial accounting theory, McGraw-Hill Education, Maidenhead Berkshire, 2006.