Computational Finance
Sogiakas Basileios
Athens University of Economics & Business<?xml:namespace prefix = o ns = "urn:schemas-microsoft-com:office:office" />
Department of Accounting & Finance
Course: Computational Finance - 6 ECTS
Lecturer: Vasilios I. Sogiakas (e-mail: sogiav@aueb.gr)
Class: Evelpidon str 1st floor, Tuesday 1500-1800
Office: Tuesday 1800-2000, AUEB main building, 1st floor
Objective of the Course
This course refers to the function of structured financial products. The course consists of two parts, the theoretical and the econometric one. The objective is to understand some fundamental financial topics, such as financial management, capital structure, portfolio analysis, market risk, credit risk and furthermore to apply advanced econometric methodologies in order to explain empirically their implications.
Course Outline
Part A
1. Financial Management
Capital & Money Markets, Time Value of Money, Present & Future Value, Rule of 72, Annuity, Compounding Frequency, Net Cash Flows, Investment Decisions, Net Present Value, Internal Rate of Return, Payback Period, Bonds, Shares, Loans, Leasing
2. Corporate Finance
Financing Decisions, Leverage, Modigliani & Miller I & II
3. Portfolio Analysis
Risk & Uncertainty, Portfolio construction, Utility function, Risk Premium, Mean-Variance: Markowitz model, Diversification, Feasible Set, Efficient Portfolio Frontier, Optimal Portfolio, Capital Market Line, Separation Theorem, Equilibrium models: Capital Asset Pricing Model, Systematic and Specific risk, Securities Market Line
4. Derivatives Markets
Forward & Futures, Options, Strategies, Hedging
5. Credit Risk
Rating Agencies, Expected Default losses on bonds, Probability of Default assuming no recovery, Hazard Rates, Recovery Rate, Structured Credit Risk models, Loss Given Default
Part B
1. Volatility
2. VaR
3. Case Studies
References
- Brealey, Myers & Allen, ‘Corporate Finance’, McGraw Hill
- H. Levy & M. Sarnat, ‘Portfolio and Investment Selection: Theory and Practice’, Prentice Hall
- Ph. Jorion, ‘Value at Risk: The New Benchmark for Controlling Derivatives Risk’, McGraw-Hill
- Lawerence Galitz, ‘Financial Engineering: Tools and Techniques to Manage Financial Risk’, Financial Times (Pitman Publishing)
- Journal reading
- Handouts (V.Sogiakas)
Course Assessment
Examination and Case Study
Less
Athens University of Economics & Business<?xml:namespace prefix = o ns = "urn:schemas-microsoft-com:office:office" />
Department of Accounting & Finance
Course: Computational Finance - 6 ECTS
Lecturer: Vasilios I. Sogiakas (e-mail: sogiav@aueb.gr)
Class: Evelpidon str 1st floor, Tuesday 1500-1800
Office: Tuesday 1800-2000, AUEB main building, 1st floor
Objective of the Course
This course refers to the function of structured financial products. The course consists of two parts, the theoretical and the econometric one. The objective is to understand some fundamental financial topics, such as financial management, capital structure, portfolio analysis, market risk, credit risk and furthermore to apply advanced econometric methodologies in order to explain empirically their implications.
Course Outline
Part A
1. Financial Management
Capital & Money Markets, Time Value of Money, Present & Future Value, Rule of 72, Annuity, Compo
Athens University of Economics & Business<?xml:namespace prefix = o ns = "urn:schemas-microsoft-com:office:office" />
Department of Accounting & Finance
Course: Computational Finance - 6 ECTS
Lecturer: Vasilios I. Sogiakas (e-mail: sogiav@aueb.gr)
Class: Evelpidon str 1st floor, Tuesday 1500-1800
Office: Tuesday 1800-2000, AUEB main building, 1st floor
Objective of the Course
This course refers to the function of structured financial products. The course consists of two parts, the theoretical and the econometric one. The objective is to understand some fundamental financial topics, such as financial management, capital structure, portfolio analysis, market risk, credit risk and furthermore to apply advanced econometric methodologies in order to explain empirically their implications.
Course Outline
Part A
1. Financial Management
Capital & Money Markets, Time Value of Money, Present & Future Value, Rule of 72, Annuity, Compo
Calendar
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