KFIN 2030 - MARCHÉS FINANCIERS NIV. 1 - Cours Magistral en Anglais

The course aims to familiarize students with the workings of asset markets and the fundamental tools of asset valuation. Three important asset classes will be covered: bonds, stocks and derivatives. The cornerstone of asset valuation is the present-value formula, and will be covered first. We will then use it in the context of fixed-income securities, focusing mainly on government bonds and emphasizing the relation between valuation and no-arbitrage. Next, we will move to stocks, starting with basic notions of risk, return and diversification. We will formalize the trade-off between risk and return in the context of portfolio theory. We will then examine how risk is priced in equilibrium, via the capital asset pricing model (CAPM) and multi-factor models. In covering these models, we will examine their implications for stock valuation. We will also ask whether the market values stocks efficiently, or whether there are “abnormal” returns leading to large profits that are not fair compensation for risk. Finally we will cover derivatives – futures and options. After an overview of derivatives' main uses, we will cover valuation method such as the binomial and the Black-Scholes model, emphasizing again the relation between valuation and no-arbitrage. The course ends with credit derivatives and the role of securitization in the subprime crisis.
Stéphane GUIBAUD,Emmanuel LION,Elena LELANDAIS,Adrien TENNE,Laurent VALIGNY,Julien RICHARD,Jean-Michel BEACCO,Eric LACOURTE,Thierry LE CLERCQ
Cours magistral et conférences
français, anglais
Exercices, lecture d'articles de presse, et études de cas.
Macroéconomie financière.
Printemps 2021-2022
Ce module est validé par 8 crédits. Le contrôle continu compte pour 2/3 de la note globale (50% galop intermédiaire, 25% corrections d'exercices et assiduité en conférence, 25% fiche technique). Le contrôle final (épreuve de 3 heures) compte pour 1/3 de la note globale.
La pédagogie de l'enseignement repose sur un cours magistral et sur une conférence de méthode de deux heures hebdomadaires chacun. Soit un total de 48h.
Z. Bodie, A. Kane, and A. Marcus, Investments, McGraw Hill