Equity and Fixed Income 2400-QFU1EFI
LECTURE 1. Revision of basic concepts:
- time value of money,
- incorporation of risk into the model.
PART I Corporate Valuation
LECTURE 2. Introduction to Company Valuation
- purposes of company valuation,
- basic notions and assumptions.
LECTURE 3. Discounted Cash Flows Method in detail
LECTURE 4. Weighted Average Cost of Capital
LECTURE 5. DCF in practice
PART II Fixed Income Securities
LECTURE 6. Overview of Fixed Income Securities and Bond Valuation.
- basic fixed income securities: bonds and their features,
- fixed income derivatives: futures, options, swaps, swaptions
- bond valuation methods.
LECTURE 7. Theory of Interest Rates
- yield curve (possible shapes, theories of yield curve)
- kinds of interest rates: spot rates, forward rates, simple and compunded interest (incl. logarithmic rates), short rates
LECTURE 8. Risk associated with investing in bonds and its measurement
- kinds of risks (incl. interest rate risk, reinvestment risk, liquidity risk, credit risk)
- duration, convexity and other methods in quantifying interest rate risk.
LECTURE 9. Forward Rate Agreements
LECTURE 10. Interest Rate Swaps
LECTURE 11. Modeling Option-like Fixed Income Securities
- Binomial Trees
- Black's Model
LECTURE 12-13. Caplets, Floorlets/Caps, Floors
LECTURE 14. Swaptions
LECTURE 15. Bonds with Embedded Derivatives
Type of course
Students with given credit for this course can demonstrate knowledge at intermediate level concerning comapny valuation and fixed income securities and have acquired practical skills related to the subject of pricing and application of securities in question. Program of the course encompasses concepts that are required for (and in some cases goes beyond) CFA examination (related to the Fixed Income Analysis), nevertheless should not be treated as a preparatory course for CFA examination.
KW01, KW02, KU01, KU02
Credit is based solely on written examination at the end of the course.
F. Fabozzi, S. Mann (2005) - Handbook of Fixed Income Securities, McGraw-Hill
J. Hull (2006) – Options, Futures and Other Derivatives
T. Koller, M. Goedhart, D. Wessels (2005) - Valuation - Measuring and Managing the Value of Companies, Wiley
S. Nawalkha, G. Soto, N. Beliaeva (2005) - Interest Rate Risk Modelling; Wiley
B. Tuckman (2002) - Fixed Income Securities; Wiley
R. Jarrow, S. Turnbull (1996) - Derivative Securities, South-Western College Publishing
A. Damodaran (2006) - Damodaran on Valuation: Security Analysis for Investment and Corporate Finance, Wiley
Information on level of this course, year of study and semester when the course unit is delivered, types and amount of class hours - can be found in course structure diagrams of apropriate study programmes. This course is related to the following study programmes:
Additional information (registration calendar, class conductors, localization and schedules of classes), might be available in the USOSweb system: