Financial Markets and Operations

Instance: 2023/2024 - 1S

Cycles of Study/Courses

Last updated on 2023-05-31.

Fields changed: Eligibility for exams, Componentes de Avaliação e Ocupação, Tipo de avaliação

Teaching language

Objectives

In this course the objective is for students to acquire an in depth knowledge of both theory and practice of the products and operations taking place in financial markets.

Learning outcomes and competences

In depth knowledge of the theory and practice of the financial markets.

Working method

Program

I - Theoretical price versus market price of financial assets

1. The general principle of princing of financial assets.


2. The example of stocks and bonds.

II - Pricing models

1. The single index model.


2. The multiple index model.


3. The CAPM and its extensions.


4. The APT model.

III - The Efficient market hypothesis

1. The concept of an efficient market


2. Testes to the efficient market hypothesis
   


3. The Empirical Evidence.

IV - Behavioral Finance

1. Anomalies to the Efficient market hypothesis


2. The problems with the agents' rationality assumption.


3. Limits to arbitrage

V - Speculative bubbles

1. Characterization and empirical evidence.


2. Models of asset price bublbes
   


3. Empirical tests for the detection of speculative bubbles.

VI - The securitization of financial assets

1. Securitization and products.


2. The securitization Process.


3. Advantages and disadvantages of securitization.


4. Pricing of MBSs.

Mandatory literature

Teaching methods and learning activities

Theoretical exposition. Problem solving. Case studies.

Evaluation Type

Assessment Components

Amount of time allocated to each course unit

Eligibility for exams

Alternative 1 (distributed assessment): two tests

that assess different parts of the curricular unit's program. The first test will take place during the semester, and the second test will take place on the date of the regular season exam.

Alternative 2: final exam.

Calculation formula of final grade

Alternative 1 (distributed assessment): two test, each one with a a weight of 50%.

 Alternative 2: classification of the final exam.

Examinations or Special Assignments

Special assessment (TE, DA, ...)

The same for all students, regardless of the status.

Classification improvement

Classification improvement is only possible by means of a final exam, and in accordance with the assessment regulations.