Course Content Core Courses

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1 FACULTY OF ECONOMICS MASTER OF SCIENCE IN FINANCE MAJOR IN FINANCIAL ANALYSIS Course Core Courses Asset Pricing Derivatives Econometrics Financial Accounting

2 COURSE DESCRIPTION Faculty of Economics Asset Pricing 6 ECTS credits Core for Master in Finance Autumn semester course: 3 hours, exercices: 1 hour Evaluation: 2-hour written exam Prerequisite : -- Teaching Team Professor Michel Dubois Institute of Financial Analysis michel.dubois@unine.ch Mesrop Janunts, teaching assistant, PhD candidate in finance Institut d analyse financière mesrop.janunts@unine.ch The objective of the course is to review, deepen and expand the student s understanding of the key ideas behind modern asset pricing and cash flow valuation theory. The major themes of the theory will be covered in a rigorous way but with no claim to generality. While a vision of the uses made of these theoretical developments in applied finance will be maintained throughout, this is a theory course taught in a university environment: a minimum of intellectual curiosity is expected from all participants. The course assumes a good preliminary knowledge of introductory finance at the Brealey - Myers level as well as fluency in calculus. Students will be aware of the main dimensions of the theoretical core of the discipline and will have the tools to read frontier articles and to follow the development of the literature. We will first discuss the optimal consumption and investment decisions in a one period model under uncertainty and risk aversion. This will lead us to the construction of a static equilibrium model of financial assets valuation: the Capital Asset Pricing Model (CAPM). We will then move on to arbitrage based valuation by introducing the concept of Arrow-Debreu securities and equivalent martingale measures. We will derive a general arbitrage based valuation methodology: the Arbitrage Pricing Theory (APT). Finally we will derive a dynamic equilibrium model: the Consumption-Cased Asset Pricing Model (C-CAPM). We will emphasize the link between the different approaches discussed in class and show that there are, in fact, different specifications of the same equation, namely a characterization of the stochastic discount factor. Exercices Exercices are practical implementations of the theory exposed in class. Danthine J.P. and R. Donaldson, 2005, Intermediate Financial Theory, 2 nd edition, Elsevier.

3 Slides and exercices available from Jean-Pierre Danthine s website: Additional references: Copeland and Weston, Financial Theory and Corporate Policy, 3rd edit., Addison-Wesley Allaz and Dumas, Financial Securities: Market Equilibrium and Pricing Methods, 1st ed., South-Western College Publishing, 1996 Levy and Sarnat, Capital Investment and Financial Decisions, Prentice Hall, New York, 4th edition, 1990 Allen and Gale, Financial Innovation and Risk Sharing, The MIT Press, Cambridge, Mass Level I, II & III CFA Program Curriculum, CFA Institute,

4 COURSE DESCRIPTION Faculty of Economics Derivatives 6 ECTS credits Core for Master in Finance Autumn semester Course: 4 hours Evaluation: written mid-term and final exams (2 hours each) Prerequisite : -- Teaching Prof. Patrick Roger (University Louis Pasteur, Strasbourg) c/o Institut d analyse financière roger@cournot.u-strasbg.fr Learning the basics on derivatives, especially forward, futures and options. Understanding the mechanics of derivative markets, the valuation models, the by-products of these models (usually called the greeks) and their use in portfolio and risk management. Futures, forward and option contracts: definition and characteristics Static strategies: speculation, hedging and arbitrage Option valuation models: Cox-Ross-Rubinstein and Black-Scholes The greeks and their use in dynamic strategies Exercices Exercises are selected in the references hereafter. They allow to check the good understanding of the theory and illustrate some empirical phenomena. J.C. Hull: Options, futures et autres actifs dérivés, 6 ème édition, Pearson Education, chapitres 1 à 15 (2006) J. C. Hull: Options, futures and other derivatives, 6 th edition, Pearson, Prentice Hall, chapters 1 to 15 (2007) Students can choose indifferently the French or the English version.

5 COURSE DESCRIPTION Faculté des sciences économiques Econometrics Master in Finance, Major in Financial Analysis (core) 6 ECTS credits Autumn semester Course : 2 hours, exercises : 2 hours Evaluation: final exam of 1h45 during the last course Prerequisite : -- Teaching Team Prof. Yves Tillé Institute of Statistics yves.tille@unine.ch Anthea Monod, PhD assistant Institute of Statistics anthea.monod@unine.ch At the end of the course, the student must be able to model financial times series by means of modern statistical techniques. The course Econometrics (for finance) is dedicated to students of the Master of Science in Finance of the University of Neuchâtel. The first part of the course includes: a reminder of the basic concepts of probability, probability distribution and random variables. Next the basic notions of inferential statistics are presented in the framework of the general linear model. The least square method and the maximum likelihood method are also discussed. The second part is dedicated to the analysis of time series. In the first part, the basic methods are presented: smoothing, moving averages, lag operators, deseasonalization. Finally, the time series are modelled by means of the ARMA methods and the ARCH and GARCH methods that are specific for times series in finance (ARCH and GARCH models). Exercices Exercises are put into practice based on the theory taught during the course. Chris Brooks (2002). Introductory Econometrics for Finance, Cambridge, Cambridge University Press.

6 COURSE DESCRIPTION Faculty of Economics Financial Accounting 6 ECTS credits Core for Master in Finance Autumn semester courses: 4 hours/week Evaluation: 2-hour final exam: 1/2 2 hour mid term exam: 1/4 paper presentation and resume: 1/4 Prerequisite : basic financial accounting rules and techniques Teaching Prof. Entela Lula Vallat c/o Institute of Financial Analysis entela-vallat@hotmail.com The aim of this course is to provide knowledge and skills for analyzing accounting information. By the end of this course, students will: 1. have an understanding of the function of financial accounting within organizations and understand the way in which performance of a business is reported 2. be aware of the limitations of accounting information for use by both internal and external users 3. have an overview of the major theories used in current accounting research 4. be able to use accounting theory to evaluate the current financial reporting environment This course rests on a user perspective of financial statements and is therefore well suited for participants who expect to be active users of financial statements as part of their professional responsibilities. Students with prospective careers in the preparation and auditing of financial statements will also benefit from a deeper understanding of the use of financial information. The first part of this course focuses on the financial reporting process from a practical perspective. Specifically, we consider how public companies do report on their financial performance, according to the prescriptions of the International Accounting Standards Board (IASB).

7 The second part of this course questions the financial reporting process from a theoretical perspective. We put the emphasis on discussing the contribution of accounting theories especially those, which examine the role of financial accounting in companies decision-making. Prerequisites and teaching methods Students have to be familiar with basic financial accounting rules and techniques, including those for consolidations. The course objectives are reinforced through the course reading materials, assigned problems, in class problem solving and class discussions. Each student will have 20 to 30 minutes to present a paper. She or he will have to write a 5-page resume demonstrating her (his) ability to understand and explain the main contributions of the paper under study. The resume will be available to other students through the Claroline portal. Assessment Assessment is based on a paper presentation, a 120 minute written mid term examination and a 120 minute written examination at the end of the term. International financial reporting standards, IASB, 2007 Scott, W., Financial Accounting Theory, 3e, Prentice-Hall, Watts and J. Zimmerman, Positive Accounting Theory, 2e, Prentice-Hall, Deegan C. & Unerman J., Financial accounting theory, McGraw-Hill Education, Maidenhead Berkshire,