Syllabus
Comparison of the investment projects (present value profile, duration, convexity, internal rate of return, profitability index, payback method, valuation of the firm). Yield curves (term structure of the interest rates, construction of the yield curves, numerical and statistical methods).
Valuation of the securities (price development modelling, stocks, bonds, options, forwards, futures). Return, expected return, and risk (optimal portfolio, risk measures, value at risk, conditional value at risk).
Capital asset pricing model (CAPM).
Annotation
Required course for bachelor's program in Financial Mathematics. Comparison of the investment projects.
Yield curves. Fixed income securities.
Financial derivatives. Risk measures.
Return, expected return, and risk of a portfolio. Optimal portfolio.
Capital asset pricing model.