September 2009:
First Quarter (October 1-30, November 1-30, December 1-15; 10 weeks): 100 hours, 20 credits |
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- Mathematical Foundations of Finance (Prof. Antonio Rubia, University of Alicante): 4 credits ECTS (20 hours; 2 in-class credits)
- Optimization, Numerical Analysis and Simulation
- Ordinary Differential Equations
- Partial Differential Equations
- Dynamic Optimization
- MatLab and Visual Basic for Applications-VBA
- Finance and Statistics (Prof. Natividad Blasco, University of Zaragoza): 6 credits ECTS (30 hours; 3 in-class credits)
- Fundamental Concepts of Statistics
- Regression Analysis
- Maximum Likelihood
- Time Series Analysis, Tests of Random Walks
- Tests for Long-Range Dependence
- Unit Root Tests and Cointegration Analysis
- Vector Autoregressive Methods
- Macroeconomics (Prof. Javier Andrés, University of Valencia): 4 credits ECTS (20 hours; 2 in-class credits)
- National Accounts and Economic Indicators
- Growth and Business Cycles
- Consumption and Investment
- Unemployment and Inflation
- Monetary and Fiscal Policies
- Economic Policy in Spain and Europe: The Economic Monetary Union and its Macroeconomic Implications, Tax and Labour Reforms, Human Capital and Education, Pension Expenditures, Net Financial Burdens
- Foundations of Financial Analysis (Prof. Jos van Bommel, University of Oxford): 6 credits ECTS (30 hours; 3 in-class credits) - Types of Financial Securities: Equity, Debt, Derivatives
- Efficient Market Hypothesis
- Arbitrage
- Pricing Fixed Income Securities
- Term Structure of Interest Rates
- Expected Utility
- Risk Aversion
- Mean-Variance Analysis
- Arrow-Debreu Securities and State Pricing
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January 2010
Second Quarter (January 15-30, February 1-28, March 1-30; 10 weeks): 100 hours, 20 credits |
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- Asset Pricing (Prof. Belén Nieto, University of Alicante): 4 credits ECTS (20 hours; 2 in-class credits)
- The Stochastic Discount Factor
- Consumption-Based Asset Pricing Models
- Multifactor and Portfolio-Based Asset Pricing Models
- Conditional Asset Pricing Models, Scaled Factors, and Predictability
- Consumption-based Asset Pricing Models under Non-Separability
- Derivative Assets (Prof. Manuel Moreno, University of Castilla La Mancha and Prof. Javier Fernández-Navas, University Pablo Olavide): 6 credits ECTS (30 hours; 3 in-class credits)
- Futures Markets: Trading, Hedging, and Pricing
- The Binomial Option Pricing Model
- Stochastic Differential Equations
- Stochastic Integrals
- Ito´s Lemma
- Girsanov´s Theorem
- The Black-Scholes Model: Analytical Expressions, Simulation and Numerical
Analysis
- The Microstructure of Financial Markets (Prof. Roberto Pascual, University of Islas Baleares and Prof. David Abad, University of Alicante): 4 credits ECTS (20 hours; 2 in-class credits)
- Trading Mechanisms
- The Roll Model of Trade Prices
- Sequential Trade Models
- Order Flow and the Probability of Informed Trading
- Strategic Trade Models
- The Empirical Evidence
- Dealers and Inventories
- Limit Order Markets
- Depth
- The Cost of Liquidity
- Fixed Income Markets
- Derivative Markets
- Financial Econometrics (Prof. Jesús Gonzalo, University Carlos III and Prof. Gonzalo Rubio, University CEU Cardenal Herrera): 6 credits ECTS (30 hours; 3 in-class credits)
- Time-Series and Cross-Sectional Tests of Asset Pricing Models
- The Generalized Method of Moments
- Principal Components Analysis
- Discrete-Time Stochastic Volatility Models
- Conditional Correlations
- Panel Data
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April 2010:
Third Quarter (April 15-30, May 1-30, June 1-30; 10 weeks): 100 hours, 20 credits |
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- Trading Strategies with Derivative Assets (Prof. Roberto Knop, Banesto and Prof. José Cloquell, Oddo Securities): 4 credits ECTS (20 hours; 2 in-class credits)
- Strategies Involving a Single Option and a Stock
- Spreads
- Combinations
- Swaps
- Variance-Swap Rates
- Other Types of Swaps
- Exotic Options
- Structured Products
- Risk Management (Prof. Juan Carlos García-Céspedes, BBVA and Prof. Elisa Alonso, Ernst&Young): 6 credits ECTS (30 hours; 3 in-class credits)
- Managing Exposures: The Greeks
- Interest Rate Risk: Duration and Immunization
- Correlations and Copulas
- Bank Regulation and Basel II
- Value-at-Risk
- Credit Risk and its Derivatives
- Operational Risk
- Liquidity Risk
- Financial Analysis and Security Valuation (Prof. Begoña Giner, University of Valencia, Prof. Mariano González, University CEU Cardenal Herrera and Prof. Antonio Ruíz, Garrigues): 4 credits ECTS (20 hours; 2 in-class credits)
- Financial Statements and Valuation
- Financial Statement Analysis and New International Accounting Rules
- Creating Accounting Value and Economic Value
- The Effects of Taxes
- The Analysis of Risk
- Corporate Strategy and Valuation (Prof. Francisco Sogorb, University CEU Cardenal Herrera and Prof. Jorge Ramos, Citigroup): 6 credits ECTS (30 hours; 3 in-class credits)
- The Estimation of Free Cash Flows
- The Cost of Capital
- The Simultaneity of Investment and Financial Decisions
- Valuation by Comparable Ratios
- Real Options
- The Valuation of Intangibles
- Special Research Seminar: The Term Structure of Interest Rates (10 hours, Prof. Alfonso Novales, University Complutense)
- Discount Function: Polynomial Modelling
- Forward Rates
- Theories on the Formation of the Term Structure: Liquidity Preference, Market Segmentation, Expectations Hypothesis.
- Testing the Expectations Hypothesis of the Term Structure
- Term Structure Models: Splines, Nelson-Siegel, Svensson
- Risk Factors along the Term Structure
- The Information in the Term Structure
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September 2010:
Fourth Quarter (September 10-30, October 1-30, November 1-20; 10 weeks): 70 hours, 14 credits |
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- Quantitative Finance (Prof. Manuel Moreno, University of Castilla La Mancha and Prof. Javier Fernández-Navas, University Pablo Olavide): 6 credits ECTS (30 hours; 3 in-class credits)
- Volatility Smiles
- Continuous-Time Models
- Stochastic Volatility Models
- Stochastic Jumps
- Volatility Jumps
- The Behaviour of the Variance Risk Premium and the Jump Risk Premium
- Continuous-Time Models of Interest Rates
- Interest Rates Derivatives
- Corporate Finance (Prof. Jos van Bommel, University of Oxford and Prof. Marina Balboa, University of Alicante): 4 credits ECTS (20 hours; 2 in-class credits)
- Adverse Selection, Moral Hazard and Agency Theory
- Initial Public Offerings
- Seasoned Offerings
- Corporate Control
- Mergers and Acquisitions
- Corporate Governance
- Venture Capital
- Private Equity
- Management of Investment Companies (Prof. Héctor García, Banif and Prof. Álvaro Gallego,UBS ): 4 credits ECTS (20 hours; 2 in-class credits)
- Selectivity, Timing, and Performance
- Dynamic Asset Allocation
- Guaranteed Funds
- Exchange-Traded Funds
- Hedge Funds
- Pension Funds
- TEACHING: 370 HOURS AND 74 CREDITS
- RESEARCH THESIS/EXAMS PRMIA I and II, CFA I (November 20-December 20): 16 CREDITS
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