Course Details for A.Y. 2012/2013

Course Objectives

Martingale pricing models for industrial investments, i.e. real options, for fixed income securities, e.g. mortgages, bonds. Financial Structure and Dividend policy will be studies from both a normative and a positive economics points of view.

Course Content

• future and forward markets
• Interest rates single factor models
• Interest rates derivatives: valuation and use in corporate liabilities management
• Industrial investment valuation: real opzions
• Financial leverage: positive economics modelling and normative propositions
• Dividend policy: positive economics modelling and normative propositions

Prerequisites and Learning Activities

See required courses. A good programming ability is required for the following applications: A) any spreadsheet, e.g. Excel, Calc; B) any matrix oriented language, e.g. MatLab, Gauss, Ox, Octave, Scilab. In the computer lab classes, Gauss will be used. Univariate and multivariate calculus is applied in most of the models. A solid background in probability theory is required.

Assessment Methods and Criteria

Two written exams during the 14 weeks course, mid term and final. The same exercises will be given during ordinary exams sessions during the year. Written test account for 90% of final valuation. A short oral exam is due to get the final grade by those students who got at least an average pass grade for the written tests.

Textbooks

• Thomas E. Copeland, J. Fred Weston, and Kuldeep Shastri, Financial Theory and Corporate Policy , (4th Edition) Addison-Wesley. 2005.    
• Luenberger, D., Investment Science , Oxford University. Press 1998.    
• John C. Hull, Options, Futures and Other Derivatives , Prentice Hall; 6th edition. 2005..    

Course page updates

• A.Y. 2010/2011
• A.Y. 2012/2013
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• A.Y. 2019/2020