Course topics
Part 1. Economic Modeling. Maximizing company profits in a competitive environment
- Modeling and calibrating the demand curve
- Modeling of non-price factors of influence on the demand curve
- Modeling and calibrating the cost function
- Multifactor regressive models for estimating sales volumes
- Monopoly pricing and maximizing profits with allowance for advertising costs
- Segmentation of the market and the model of differentiated pricing
- Models of the economy of exchange and finding a generally competitive equilibrium in the boxes of Edgeworth
- Models of competition
- Stokelberg Competition Model: price leadership and leadership in production volumes
- Model of the Cournot competition and finding Nash equilibrium with homogeneous goods
- Model of Bertrand competition and finding a Nash equilibrium with differentiated goods
- Multi-attribute Fishbein model
Part 2. Financial Economics. Financial contract evaluation models
- The cost of money in time and the model of equivalent payments
- Personal Financial Planning
- Calibrate the yield curve of interest rates
- Complete and incomplete markets
- Finding equilibrium prices for investment projects
- The estimated value of investment projects when buying and selling using the risk-free equivalence concept
- Binomial market model
- Assessment of conditional requirements in a binomial model
- Cox-Ros-Rubinstein model for estimating the cost of conditional claims
- Black–Scholes Option Pricing Model
- Application of OPM model in corporate finance
Part 3. Financial Econometrics
- Parametric and nonparametric functions of the distribution of profitability of financial products and the values of investment criteria
- Normalized moments of stock return sampling, their visualization and use in financial analysis
- Generation of one-dimensional random variables with given characteristics
- Two-dimensional parametric random variables, calibration of their parameters and generation of multidimensional random variables
- Target functions of the efficiency of investment management – investment criteria: Sharpe, Treinor, Jensen, Markovitsa and their modified counterparts
- Models of optimal stock portfolio management and solving quadratic programming tasks
Part 4. Analytical models of investment project evaluation
- Investment criteria (NPV, IRR, DPP, NPV-BEP) and their application to investment decisions
- Analysis of the sensitivity of investment projects
- Using decision trees to evaluate investment projects
- The concept of an extended NPV
- Scenario analysis of investment attractiveness
- Monte Carlo simulative analysis of investment project risk assessment
Prerequisites
- Linear Algebra for Data Science
- Statistics and Econometrics
- Corporate Finance
- Mathematical analysis
- Economics
- Investigation of operations