Section 001: TR 12:00-2:55 PM, TISCH LC10
TA: Bulent Kulkuloglu, bk387@stern.nyu.edu
Office Hours: Tuesdays 10:00-12:00 a.m.
TA center, KMC 5-50-E
Course Objective and Description:
This course is a rigorous, quantitative
introduction to market structure and the valuation
of financial assets. Among the topics
covered are arbitrage, mean-variance efficiency,
the capital asset pricing model,
discounted cash flow models, fixed?income analysis, and
valuation of derivative securities.
Although this is an introductory course, students are
expected to understand the valuation
formulas in addition to knowing how to apply them.
You
are expected to own and be able to use a financial calculator.
You are also expected to subscribe to the Wall Street Journal, or other financial media, and come to class fully aware of what is going on in the financial markets.
Grades will be based on the midterm exam (40%) on Tuesday July 23, 2002, the final exam (50%) on Thursday August 8, 2002, and weekly problem sets and Market Tracking Assignment (10%). You must take both the mid term and the final exam. There will be no make-ups during the semester. The exams are in-class, multiple-choice with short explanations. They are closed book, but you can bring in one 8.5”x11” page of notes (one side blank, with your name on it, to be turned in with your exams) and should bring in your calculator. You may not enter any formulae or data in your calculator.
Over the course of the semester about
4 problem sets will be assigned . They will be graded. To receive credit
they must be handed in on time and must be legible handwritten originals
(no faxes, no word processors nor photocopies).
An attendance sheet may be passed
occasionally. Attempts at considering a less-than-honest
effort will not be tolerated.
Your grade for the course will be set by how you rank with respect to your
peers based on the Finance Grading Standards as posted on http://www.stern.nyu.edu/fin/
. There are no exceptions to these rules.
There are no additional work that you may ask to do if you do not
like your grade in this course. Once your grade has been submitted
by me to the university, there is nothing left to do for you or me in this
course.
Not All sections of all chapters will be required. Sections to be omitted will be announced in class. Your dedicated attendance will save you time and headaches. Also, regularly check the web-site for changes and announcements.
1. Introduction and Elements of Investments
Overview of the Financial System
Markets, Securities and Investors
BKM: Ch. 1,2,3
suggested problems (note non-problem questions
are yours to learn)
chapter 2. 2,4,5,8,9
chapter 3. 2,3,4,7,8,9
2. Time value of Money
Interest rate calculations
Net Present Value and Internal Rate of Return
Applications
RWJ: Ch. 4,5,8
All sorts of problems dealing with the PV, FV,
Annuities, EAR, NPV, IRR, Payback,
ARR, PI etc...are recommended. Please the
more you do the better.
3. Risk and Return
Decisions under Uncertainty
Portfolio Analysis
BKM: Ch. 6,7 (pp.185-199)
suggested problems (note non-problem questions
are yours to learn)
chapter 6. 1,4,5,6,8,11,12-16
chapter 7. 1,4,5,6,7,9,12,16
4. Capital Market Equilibrium
Index Models
Capital Asset Pricing Model
Arbitrage Pricing Theory
BKM: Ch. 7 (pp.199- 215), 8
suggested problems (note non-problem questions
are yours to learn)
chapter 8. 3,4,7,8-14,17,19
5. Equity Valuation
Relative valuation
Dividend Models
BKM: Ch. 13
suggested problems (note non-problem questions
are yours to learn)
chapter 13. 3,5,6,14,17
6. Bond Valuation
Bond Prices and Yields
Term Structure of Interest Rates
Duration
BKM: Ch. 10 sections 1, 3-6
Ch. 11
section 1
suggested problems (note non-problem questions
are yours to learn)
chapter 10. 9,10,30
chapter 11. 1-3
7. Options and Futures
Options Strategies and Valuation
Futures and Swaps
BKM: Ch. 16 sections 1-2
17 sections 1, 3, 4
18 sections 1, 3, 4
8. Market Efficiency
Theory and Empirical Evidence
BKM: Ch. 9 sections 1 and 2
If you will download these slides for printing make sure you print as "Pure Black and White" to save on toner, and they will look better.
Note: Slides are in Microsoft Powerpoint format.Please check this space regularly
for important announcements related to this course.
For more information on the Fed and
how it operates please get: The Federal Reserve System, Purposes
and Functions, 8th Edition, 1994. This is a free book
that you can obtain by calling the New York Fed at 720-6134, or by visiting
their Public Information Dept. at 33 Liberty Street, 13th Floor, or on
the home page of the Board of Governors of the Federal Reserve System at:
http://app.ny.frb.org/cfpicnic/frame2.cfm?url=http://www.federalreserve.gov/pf/pf.htm