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TOTC1109 — The Models for Analysing and Evaluating the Financial Assets 2 | Chương trình đào tạo NEU

TOTC1109 — The Models for Analysing and Evaluating the Financial Assets 2

Credits
3
Self-study hours
90
Showing intake
K68-2026

Course description

This course mainly referred to the application of some mathematical methods for modeling the process of analysing and valuating financial assets. By developing and analyzing both the basic models as well as the complex models, learners can apply directly in valuating different types of financial assets. In this course, students will learn the following contents:

Fixed Income Valuation Models

Equity Valuation Models

Forwards and Futures

Options and General Properties

Binomial Option Pricing Model

Black-Scholes Option Pricing Model

Course requirements

Requirements for taking final /terminal exams

Students are allowed to take the final exam if their attendance score reaches 5 points or more (on the scale of 10).

Requirements for attending classes

Students are responsible for attending all classes. In case of absence from school due to force majeure reasons, sufficient and reasonable proofs must be provided. For each absence, 1 point will be deducted 1 point. Students who miss any classes more than 3 times, with or without reason, will be considered as failing to complete the course and have to re-register.

Students will be awarded points for constructive comments, these points are added to attendance points and group assignments.

Groups who do not submit the group work will receive a score of 0 (zero). Late submissions will be deducted for each day of late submission.

Requirements for in-class behaviour

The course is conducted on the principle of respecting learners and lecturers. Any behaviour that affects the teaching and learning process is strictly prohibited.

Students must come to class on time. Students who are late more than 10 minutes after class starts will not be allowed to attend the class. Do not make noise and affect others during the learning process.

Laptops and tablets are only used for the purpose of taking notes for and calculating for lectures and exercises, absolutely forbidden to use for other purposes.

Lecturers

  • Phạm Thị Hồng Thắm
  • Nguyen Van Quy

Teaching plan

Week 1

Introduction to the Fianacial Assets Valuation Principles and Processes - Three Classes of Financial Assets - General Valuation Principles and Processes
References
Syllabus
Activities
Lectures: basic knowledge of pricing and analysing financial assets is discussed using PowerPoint slides. In-class discussions: students are encouraged to raise questions about the subject, what and how they would like to learn.
Assessment
Criteria: Attendance, Responding & Behavior Tools: Appendix 2, Rubric 1 Method: Attendance Check & Work Assignment

Week 1

Chapter 1. Fixed Income Valuation Models  1.1. Fixed Income Securities: Definition and Properties 1.1.1 Definition 1.1.2 Properties 1.1.3 Types of Fixed Income Securities 1.2. Term Structure of Interest Rates  1.2.1 Term Structure of Spot Rates 1.2.2 Term Structure of Forward Rates 1.3. Bond Pricing Models  1.3.1 Bonds Features 1.3.2 Pricing Bonds 1.3.3 Bond Yields 1.4. Bonds and Risk on Interest Rate  1.4.1 Duration of Bonds 1.4.2 Convexity 1.4.3 Bond Price Sensitivity 1.4.4 Immunization Strategies of Bond Management
References
[1] Chapter 1 to 3
Activities
Lectures: basic knowledge of pricing and analysing fixed income securities is discussed using slides, provide Homework 1. In-class discussions: students are encouraged to raise questions, participate in discussions, and share ideas with their peers. These discussions help students formulate their own opinions on controversial issues. In-class exercises: basic concepts and techniques are illustrated using examples. To follow the lectures closely, students are encouraged to work along with the instructor on these exercises.

Learning resources

  • 1. Course Books
  • Investment (11th edition) — Bodie, Z., Kane, A., & Marcus, A. J., McGraw Hill Education, 2018
  • . Fixed Income Analysis. Wiley — Petitt, B. S., 2019
  • . Equity asset valuation. John Wiley & Sons — Pinto, J. E., 2020
  • . Derivatives markets (3rd edition) — McDonald, R., Pearson, 2013
  • 2. References
  • Derivatives: The Theory and Practice of Financial Engineering — Wilmott, P., CD-ROM. Wiley, 1998
  • Options futures and other derivatives — Hull, J. C., Pearson Education India, 2003
Assessment
Criteria: Attendance, Responding & Behavior Tools: Appendix 2, Rubric 1 Method: Attendance Check

Week 3

Chapter 2. Equity Valuation Models   2.1. Introduction  2.1.1 Introduction to Equity and their Basic Concepts.  2.1.2 Intrinsic Value   2.1.3 Equity Analysis Principles  2.2. Dividend Discount Model  2.2.1 The Dividend Discount Model  2.2.2 The Gordon Growth Model  2.2.3 Multistage Dividend Discount Models  2.3. Free Cash Flow Valuation Models  2.3.1 Introduction to Free Cash Flows  2.3.2 FCFF and FCFE Valuation Approaches  2.3.3 Forecasting Free Cash Flow  2.4. Dynamic Models  2.4.1 Binomial Tree of Stock Prices  2.4.2 The Lognormal Distribution as a Model for Stock Prices
References
[1] Chapter 17 to 19  [3] Chapter 1 to 6
Activities
Lectures: knowledge of analysing and valuing equities is discussed using slides, correct Homeowork 1 and provide Homework 2 In-class exercises: basic concepts and techniques are illustrated using examples. To follow the lectures closely, students are encouraged to work along with the instructor on these exercises, solve Homework 1 exercises. In-class discussions: students are encouraged to raise questions, participate in discussions, and share ideas with their peers. These discussions help students formulate their own opinions on controversial issues.
Assessment
Criteria: Attendance, Responding & Behavior Tools: Appendix 2, Rubric 1 Method: Attendance Check & Work Assignment

Week 6

Chapter 3. Forwards and Futures  3.1. Forwards 3.1.1 Forwards Contract  3.1.2 Payoff of Forwards Contract  3.2. Pricing Forward  3.2.1 Pricing Forward on Stock  3.2.2 Pricing Forward on Currency  3.3. Variation on Forward Contract  3.3.1 Prepaid Forward  3.3.2 Futures
References
[1] Chapter 22  [4] Chapter 1, 2, 5, 6
Activities
Lectures: knowledge of analysing and valuing equities is discussed using slides, correct Homeowork 2 and provide Homework 3 In-class exercises: basic concepts and techniques are illustrated using examples. To follow the lectures closely, students are encouraged to work along with the instructor on these exercises, solve Homework 2 exercises. In-class discussions: students are encouraged to raise questions, participate in discussions, and share ideas with their peers. These discussions help students formulate their own opinions on controversial issues.
Assessment
Criteria: Attendance, Responding & Behavior Tools: Appendix 2, Rubric 1 Method: Attendance Check & Work Assignment

Week 7

Review Midterm Test Assignment Giving
Assessment
Criteria: Calculation problems, Discussion questions Tools: Appendix 2, Rubric 2 Method: Written Exam

Week 8

Chapter 4. Options and General Properties   4.1. Options  4.1.1 Call Options  4.1.2 Put Options  4.2. Option Strategies  4.2.1 Options with Underlying Assets  4.2.2 Synthetic Forwards  4.2.3 Bear Spreads, Bull Spreads, and Collars  4.2.4 Straddles, Strangles, and Butterfly Spreads  4.3. Put-Call Parity  4.3.1 Stock Put-Call Parity  4.3.2 Synthetic Stocks and Treasuries  4.3.3 Synthetic Options  4.3.4 Currency Options  4.4. Comparing Options  4.4.1 Bounds for Option Prices  4.4.2 Early exercise of American Options  4.4.3 Time to Expiry  4.4.4 Different Strike Price
References
[1] Chapter 20  [4] Chapter 2, 9
Activities
Lectures: knowledge of analysing and valuing equities is discussed using slides, correct Homeowork 3 and provide Homework 4 In-class exercises: basic concepts and techniques are illustrated using examples. To follow the lectures closely, students are encouraged to work along with the instructor on these exercises, solve Homework 3 exercises. In-class discussions: students are encouraged to raise questions, participate in discussions, and share ideas with their peers. These discussions help students formulate their own opinions on controversial issues.
Assessment
Criteria: Attendance, Responding & Behavior Tools: Appendix 2, Rubric 1 Method: Attendance Check & Work Assignment

Week 10

Chapter 5. Binomial Option Pricing Model  5.1. Binomial Trees - Stock, One Period  5.1.1 Risk-neutral pricing  5.1.2 Replicating Portfolio  5.1.3 Volatility  5.2. Binomial Trees – General  5.2.1 Multi-period Binomial Trees  5.2.2 American Options  5.2.3 Currency Options  5.2.4 Futures  5.2.5 Other Assets   5.3. Binomial Trees: Understanding Early Exercise of Options  5.3.1 Motivation of Early Exercising Options 5.3.2 Zero Volatility 5.3.3 Positive Volatility
References
[1] Chapter 21  [4] Chapter 10, 11
Activities
Lectures: knowledge of analysing and valuing equities is discussed using slides, correct Homework 4 and provide Homework 5 In-class exercises: basic concepts and techniques are illustrated using examples. To follow the lectures closely, students are encouraged to work along with the instructor on these exercises, solve Homework 4 exercises. In-class discussions: students are encouraged to raise questions, participate in discussions, and share ideas with their peers. These discussions help students formulate their own opinions on controversial issues.
Assessment
Criteria: Attendance, Responding & Behavior Tools: Appendix 2, Rubric 1 Method: Attendance Check & Work Assignment

Week 12

Chapter 6. Black-Scholes Option Pricing Model  6.1. Black – Scholes model of Underlying Assets  6.1.1 Risk-neutral Pricing  6.1.2 Replicating Portfolio  6.2. Black-Scholes Formula  6.2.1 The Black-Scholes Formula for common stock options  6.2.2 The Black-Scholes Formula for Currency Options  6.2.3 The Black-Scholes Formula for Options on Futures  6.3. The Black-Scholes Formula: Greeks  6.3.1 Greeks  6.3.2 Elasticity and Related Concepts
References
[1] Chapter 21  [4] Chapter 12, 13
Activities
Lectures: knowledge of analysing and valuing equities is discussed using slides, correct Homework 5 and provide Homework 6 In-class exercises: basic concepts and techniques are illustrated using examples. To follow the lectures closely, students are encouraged to work along with the instructor on these exercises, solve Homework 3 exercises. In-class discussions: students are encouraged to raise questions, participate in discussions, and share ideas with their peers. These discussions help students formulate their own opinions on controversial issues.
Assessment
Criteria: Attendance, Responding & Behavior Tools: Appendix 2, Rubric 1 Method: Attendance Check & Work Assignment

Week 15

Summary and Revision Report Submission
Activities
Homework 6 discussion (TU) Revision (TU) Groups present projects and answer questions Lecturer and class members comments
Assessment
Appendix 2, Rubrics 1, 3
Final exam
Activities
Students take exams according to give schedule
Assessment
According to the exam requirement Appendix 2, Rubric 2