BE-419 Finance Theory

Emnet er tilknyttet følgende studieprogram

• Regnskap og revisjon - siviløkonom, masterprogram
• Økonomi og administrasjon - siviløkonom, masterprogram
• Økonomi og administrasjon - siviløkonom, 5-årig masterprogram

Undervisningsspråk

English.

Anbefalte forkunnskaper

Bachelor level courses in Mathematics, Statistics, Investment and Finance
SE-412 Quantitative Financial Economics or equivalent.

Innhold

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.

Læringsutbytte

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

Vilkår for å gå opp til eksamen

Approved mandatory assignments. More information will be given in Canvas at the start of the semester.

Undervisnings- og læringsformer

The course consists of lectures and group-work sessions. Estimated workload is about 200 hours.

Studentevaluering

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.

Tilgang for privatister

No

Eksamen

4-hour written examination with letter grades.

Reduksjon i studiepoeng

Innholdet i dette emnet dekkes helt eller delvis av annet emne. Tas ett av disse emnene i tillegg, reduseres studiepoengene som følger:

Emne	Studiepoengreduksjon
BE-411 – Derivatives and Risk Management	2.5
BE-415 – Investments	2.5
BE-511 – Derivatives	2.5
BE-421 – Investments	2.5