1. Empirical Multifactor Models. Forward and Futures Pricing
1.1. Empirical Multifactor Models
1.1.1. 1
1.1.2. 2
1.1.3. 3
1.1.4. 4
1.2. Fama-French 3-Factor and 5-Factor Models
1.2.1. 1
1.2.2. 2
1.2.3. 3
1.2.4. 4
1.2.5. 5
1.2.6. 6
1.2.7. 7
1.2.8. 8
1.2.9. 9
1.3. Momentum Factor: Carhart 4-Factor Model
1.3.1. 1
1.3.2. 2
1.3.3. 3
1.3.3.1. 4
1.3.3.2. 5
1.3.4. 6
1.3.4.1. 7
1.3.4.2. 8
1.3.4.3. 9
1.3.5. 10
1.4. Liquidity Factor: Pastor-Stambaugh Model
1.4.1. 1
1.4.2. 2
1.4.3. 3
1.4.4. 4
1.5. Some Modern Econometric Issues
1.5.1. 1
1.5.2. 2
1.5.3. 3
1.5.4. 4
1.6. Forward and Futures Pricing
1.6.1. 1
1.6.2. 2
1.6.3. 3
1.6.4. 4
1.6.5. 5
1.6.5.1. 6
1.6.6. 7
1.6.6.1. 8
1.7. Forward Price of Equity With Dividends
1.7.1. 1
1.7.2. 2
1.7.3. 3
1.7.4. 4
1.7.5. 5
1.8. Forward Price of a Commodity
1.8.1. 1
1.8.2. 2
1.8.3. 3
1.8.4. 4
1.8.5. 5
1.8.5.1. 6
1.8.5.2. 7
1.9. Forward Price of Foreign Exchange
1.9.1. 1
1.9.2. 2
1.9.3. 3
1.9.4. 4
1.9.5. 5
1.9.6. 6
1.10. Price of a Forward Position
1.10.1. 1
1.10.2. 2
1.10.3. 3
1.10.4. 4
1.10.5. 5
1.11. Futures Pricing: What Makes the Difference
1.12. Reading List 5
2. Option Pricing. Information and Market Efficiency
2.1. Option Pricing
2.1.1. 1
2.1.2. 2
2.1.3. 3
2.1.4. 4
2.1.5. 5
2.1.6. 6
2.2. Bounds on Option Premia
2.2.1. 1
2.2.2. 2
2.2.3. 3
2.2.4. 4
2.2.5. 5
2.3. Put-Call Parity
2.3.1. 1
2.3.2. 2
2.3.3. 3
2.4. Binominal Option Pricing Model: Portfolio Replication Method
2.4.1. 1
2.4.1.1. 2
2.4.1.2. 3
2.4.2. 4
2.4.2.1. 5
2.4.2.2. 6
2.4.3. 7
2.4.3.1. 8
2.4.3.2. 9
2.4.4. 10
2.4.5. 11
2.5. Binominal Option Pricing Model: Risk-Neutral Probability Method
2.5.1. 1
2.5.2. 2
2.5.3. 3
2.5.4. 4
2.5.5. 5
2.6. Black-Scholes Option Pricing Model
2.6.1. 1
2.6.2. 2
2.6.3. 3
2.6.4. 4
2.6.5. 5
2.6.6. 6
2.7. Option Price Sensitivity Ratios
2.7.1. 1
2.7.1.1. 2
2.7.2. 3
2.7.2.1. 4
2.7.2.2. 5
2.7.3. 6
2.7.3.1. 7
2.7.4. 8
2.7.4.1. 9
2.7.4.2. 10
2.7.5. 11
2.7.5.1. 12
2.8. Option Strategies
2.8.1. 1
2.8.2. 2
2.8.2.1. 3
2.8.2.2. 4
2.8.2.3. 5
2.8.2.4. 6
2.8.3. 7
2.8.3.1. 8
2.8.3.2. 9
2.8.3.3. 10
2.8.3.4. 11
2.8.3.5. 12
2.8.4. 13
2.9. Information and Market Efficiency
2.9.1. 1
2.9.2. 2
2.9.2.1. 3
2.9.2.2. 4
2.9.3. 5
2.9.3.1. 6
2.9.4. 7
2.10. Weak Form of Market Efficiency and Technical Analysis
2.10.1. 1
2.10.1.1. 2
2.10.1.2. 3
2.10.2. 4
2.10.2.1. 5
2.10.2.2. 6
2.10.3. 7
2.10.3.1. 8
2.10.4. 9
2.10.4.1. 10
2.10.4.2. 11
2.11. Semi-Strong Form of Market Efficiency, Event Studies and Fundaments Analysis
2.11.1. 1
2.11.2. 2
2.11.3. 3
2.11.4. 4
2.11.5. 5
2.11.5.1. 6
2.11.6. 7
2.11.6.1. 8
2.11.6.2. 9
2.11.6.3. 10
2.12. Strong Form of Market Efficiency and Insider Trading
2.12.1. 1
2.12.2. 2
2.12.3. 3
2.12.3.1. 4
2.12.3.2. 5
2.12.4. 6
2.12.5. 7
2.12.6. 8
2.13. Arguments Against Market Efficiency: Behavioral Finance
2.13.1. 1
2.13.1.1. 2
2.13.1.2. 3
2.13.2. 4
2.13.2.1. 5
2.13.3. 6
2.13.3.1. 7
2.13.4. 8
2.14. Reading List 6
3. Introduction to Financial Markets. Essentials of Financial Calculations
3.1. Introduction
3.1.1. 1
3.1.1.1. 2
3.1.1.1.1. 3
3.2. Introduction to Financial Markets
3.2.1. Overview of Financial Markets, Financial Instruments and Financial Systems
3.2.1.1. 1
3.2.1.1.1. 2
3.2.1.2. 4
3.2.1.2.1. 5
3.2.2. Types of Financial Systems
3.2.2.1. 1
3.2.2.2. 2
3.2.3. Why Do We Need Asset Pricing? Application of Financial Models in the Pricing of Financial Assets
3.2.3.1. 1
3.2.3.1.1. 2
3.2.3.2. 4
3.2.3.2.1. 5
3.2.3.3. 7
3.2.3.3.1. 8
3.2.4. The Concept of Perfect Market and the Law of One Price
3.2.4.1. Basic underlying assumptions of most financial models
3.2.4.1.1. Perfect capital market
3.2.4.1.2. The Law of One Price
3.2.5. Financial Market Imperfections: Theory Meets Practice
3.2.5.1. 1
3.2.5.1.1. 2
3.2.5.2. 4
3.2.5.2.1. 5
3.2.5.3. 7
3.3. Financial calculations
3.3.1. Time Value of Money, Compounding and Discounting
3.3.1.1. 1
3.3.1.2. 2
3.3.1.2.1. 1
3.3.1.3. 2
3.3.1.3.1. 3
3.3.1.4. 4
3.3.1.5. 5
3.3.2. Compounding and Effective Interest Rates
3.3.2.1. 1
3.3.2.2. 2
3.3.2.3. 3
3.3.2.4. 4
3.3.2.5. 5
3.3.2.6. 6
3.3.3. Nominal and Real Interest Rates
3.3.3.1. 1
3.3.3.2. 2
3.3.3.3. 3
3.3.3.4. 4
3.3.3.5. 5
3.3.4. Perpetuities, With and Without Growth
3.3.4.1. 1
3.3.4.2. 2
3.3.4.3. 3
3.3.4.4. 4
3.3.4.5. 5
3.3.4.6. 6
3.3.4.7. 7
3.3.5. Annuities, With and Without Growth
3.3.5.1. 1
3.3.5.2. 2
3.3.5.2.1. 3
3.3.5.2.2. 4
3.3.5.3. 5
3.3.5.3.1. 6
3.3.5.3.2. 7
3.3.5.4. 8
3.3.5.5. 9
3.3.5.5.1. 10
3.3.6. Personal Savings and Bank Loans: an Economic Approach to Financial Decision-Making
3.3.6.1. 1
3.3.6.2. 2
3.3.6.3. 3
3.3.6.4. 4
3.3.6.5. 5
3.3.6.6. 6
3.4. Reading list 1
4. Bond Pricing. Equity Pricing
4.1. Bond Pricing
4.1.1. Spot and Forward Rates
4.1.1.1. 1
4.1.1.2. 2
4.1.1.3. 3
4.1.1.4. 4
4.1.1.5. 5
4.1.1.6. 6
4.1.1.7. 7
4.1.2. The Use of DCF Approach in Bond Pricing
4.1.2.1. 1
4.1.2.2. 2
4.1.2.3. 3
4.1.2.4. 4
4.1.2.5. 5
4.1.3. Yield to Maturity
4.1.3.1. 1
4.1.3.2. 2
4.1.3.3. 3
4.1.3.4. 4
4.1.3.5. 5
4.1.3.6. 6
4.1.4. Current Yield
4.1.4.1. 1
4.1.4.2. 2
4.1.4.3. 3
4.1.5. Credit Risk of Debt Securities
4.1.5.1. 1
4.1.5.2. 2
4.1.5.3. 3
4.1.5.4. 4
4.1.5.5. Credit default swap
4.1.5.6. 6
4.1.5.7. 7
4.1.6. Interest Rate Risk of Debt Securities
4.1.6.1. 1
4.1.6.2. 2
4.1.6.3. 3
4.1.6.4. 4
4.1.6.5. 5
4.1.6.6. 6
4.1.7. Term Structure of Interest Rates
4.1.7.1. 1
4.1.7.1.1. 2
4.1.7.1.2. 3
4.1.7.2. 4
4.1.7.2.1. 5
4.1.7.3. 6
4.1.7.3.1. 7
4.1.7.3.2. 8
4.1.7.3.3. 9
4.1.7.3.4. 10
4.1.7.4. 11
4.2. Equity Pricing
4.2.1. Dividends or Capital Gains? Deriving the Dividend Discounting Model (DDM)
4.2.1.1. 1
4.2.1.2. Re - expected return
4.2.1.3. 3
4.2.1.4. 4
4.2.1.5. 5
4.2.1.6. 6
4.2.2. Factors that Affect Dividends and the Gordon Growth Model
4.2.2.1. 1
4.2.2.2. 3
4.2.2.2.1. 2
4.2.2.3. 4
4.2.2.4. 5
4.2.2.5. 6
4.2.2.6. 7
4.2.2.7. 8
4.2.2.7.1. 9
4.2.3. A Two-Stage Approach to Equity Valuation
4.2.3.1. 1
4.2.3.2. 2
4.2.3.3. 3
4.2.3.4. 4
4.2.3.5. 5
4.2.3.6. 6
4.2.3.7. 7
4.2.4. Present Value of Growth Opportunities (PVGO) and Economic Profit of a Company
4.2.4.1. 1
4.2.4.2. 2
4.2.4.3. 3
4.2.4.4. 4
4.2.4.5. 5
4.2.4.6. 6
4.2.4.7. 7
4.2.5. Practical Limitations to the Use of DDM: Some Alternative Methods of Equity Pricing
4.2.5.1. 1
4.2.5.1.1. 1
4.2.5.1.2. 2
4.2.5.2. 2
4.2.5.2.1. 1
4.2.5.2.2. 3
4.2.5.3. Limitation of DDM
4.2.5.3.1. 1
4.2.5.3.2. 2
4.2.5.3.3. 3
4.2.5.3.4. 4
4.2.5.3.5. 5
4.3. Reading List 2
5. Risk and Return. Portfolio Theory
5.1. Risk and Return
5.1.1. Return on a Single Stock: Single-period and Expected Returns
5.1.1.1. Return on a security
5.1.1.1.1. Expected return
5.1.1.1.2. Required return
5.1.1.2. Return frequencies
5.1.1.2.1. Expected return of a stock
5.1.2. Risk of a Single Stock: Variance and Standard Deviation of Returns
5.1.2.1. Definition of risk in finance
5.1.2.2. Variation
5.1.2.3. Standard deviation
5.1.2.4. Rational investor: First rule
5.1.2.5. Rational investor: Second rule
5.1.2.6. Rational investor: Third rule
5.1.3. Risk and Return of a Two-Stock Portfolio: Expected Return, Covariance and Correlation Ratio
5.1.3.1. Expected return of a 2-stock portfolio
5.1.3.1.1. 1
5.1.3.2. Variance of a 2-stock portfolio
5.1.3.2.1. 2
5.1.3.3. Correlation ratio
5.1.3.3.1. 3
5.1.3.4. Portfolio variance and standard deviation
5.1.3.4.1. 4
5.1.3.5. Return correlation: effect on portfolio risk
5.1.3.5.1. 5
5.1.4. Risk and Return of a Multiple-Stock Portfolio
5.1.4.1. Variance of a n-stock portfolio
5.1.4.1.1. 1
5.1.4.1.2. 2
5.1.4.2. Risk and return: portfolio of n securities
5.1.4.2.1. 3
5.1.5. Systemic and Non-Systemic Risk, Diversification
5.1.5.1. Diversification
5.1.5.1.1. Limits to diversification
5.1.5.2. Systemic and non-systemic risk
5.1.5.2.1. 1
5.2. Portfolio theory
5.2.1. Background and Key Assumptions
5.2.1.1. 1
5.2.1.2. Key underlying assumption
5.2.1.3. Key assumption
5.2.2. Portfolio Selection: Investing in Risky Assets
5.2.2.1. 1
5.2.2.2. 2
5.2.2.3. Feasible region: minimum variance portfolio
5.2.2.4. 4
5.2.2.5. 5
5.2.3. Investing in Risky and Risk-Free Assets: Two-Fund Separation
5.2.3.1. 1
5.2.3.2. 2
5.2.3.3. 3
5.2.3.4. 4
5.2.3.5. 5
5.2.3.6. Capital market line CML
5.2.3.7. 7
5.2.3.8. 8
5.2.3.9. 9
5.2.4. Sharpe and Sortino Ratios
5.2.4.1. 1
5.2.4.2. Sharpe Ratio
5.2.4.3. 3
5.2.4.4. 4
5.2.4.5. 5
5.2.4.6. 6
5.2.4.7. 7
5.3. Reading List 3
6. Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT)
6.1. Derivation of CAPM
6.1.1. 1
6.1.2. 2
6.1.3. 3
6.1.4. 4
6.1.5. 5
6.1.6. 6
6.1.7. 7
6.1.8. 8
6.2. Market Equilibrium and SML
6.2.1. CARM
6.2.2. 2
6.2.3. 3
6.2.4. 4
6.2.5. 5
6.2.6. 6
6.2.7. 7
6.2.8. 8
6.2.9. 9
6.3. Empirical Testing of CAPM and Roll's Critique
6.3.1. 1
6.3.2. 2
6.3.3. 3
6.3.4. 4
6.4. Modifications of CAPM for Emerging Markets
6.4.1. Unadjusted Beta
6.4.1.1. Adjusted Beta
6.4.1.2. Downside Beta
6.4.2. Global CAPM
6.4.3. Country Risk Premium CRP
6.4.3.1. Estimation CRP
6.4.3.2. 1
6.4.3.3. 2
6.4.3.4. 3
6.4.3.5. 4
6.4.3.6. 5
6.4.4. Local CAPM
6.5. Factor Models and Arbitrage Pricing Theory (APT)
6.5.1. Single-Factor Model
6.5.1.1. 1
6.5.1.2. 2
6.5.1.3. 3
6.5.1.4. 4
6.5.1.5. 5
6.5.1.5.1. 6
6.5.2. 1
6.6. Multi-Factor Models
6.6.1. 1
6.6.1.1. 2
6.6.1.2. 3
6.6.2. 4
6.6.3. 5
6.6.4. 6
6.7. Derivation of the Arbitrage Pricing Theory
6.7.1. 1
6.7.2. 2
6.7.2.1. 3
6.7.2.2. 4
6.7.3. 5
6.7.3.1. 6
6.7.4. 7
6.7.4.1. 8
6.7.4.2. 9
6.8. Multi-Factor Models In Practice: General Remarks
6.8.1. 1
6.8.2. 2
6.8.3. 3
6.8.4. 4
6.8.5. 5
6.8.6. 6