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| + | =====Course unit: Models and Decisions ===== | ||
| + | ==== Course metadata ==== | ||
| + | * Title in French: Modèles et Décisions | ||
| + | * Course code: tba | ||
| + | * ECTS credits: 3 | ||
| + | * Teaching hours: 72h | ||
| + | * Type: ground course | ||
| + | * Language of instruction: | ||
| + | * Coordinator: | ||
| + | * Instructor(s): | ||
| + | * //Last update 27/08/2021 by C. Pouet// | ||
| + | |||
| + | ==== Brief description ==== | ||
| + | |||
| + | This course unit is divided into three parts: | ||
| + | * ** Risk and decision ** (24 hours) taught by Dominique Henriet and Clément Depoutre | ||
| + | * ** Statistics and decisions ** (24 hours) taught by Christophe Pouet | ||
| + | * ** Corporate finance ** (24 hours) taught by Gaël Leboeuf | ||
| + | |||
| + | ==== Learning outcomes ==== | ||
| + | |||
| + | * Understand how to take decision under uncertainty | ||
| + | * Learn how to assess risk and how to compare risky situations | ||
| + | * Learn how to model, estimate and predict time series | ||
| + | * Understand how capital structure affects the value of the firm | ||
| + | |||
| + | ==== Course content ==== | ||
| + | === Risk and decision === | ||
| + | - Introduction: | ||
| + | - Risk measure | ||
| + | - Expected utility | ||
| + | - Supply and demand: the price of risk | ||
| + | - The value of information | ||
| + | - Market & Counterparty Risk Management | ||
| + | |||
| + | === Statistics and decisions === | ||
| + | - Reminder on probability: | ||
| + | - Stochastic processes in discrete and continuous time | ||
| + | - ARMA process: definition, existence, characteristics (autocovariance, | ||
| + | - Estimation of ARMA processes: identification, | ||
| + | - Extensions: SARIMA, ARCH and GARCH processes | ||
| + | |||
| + | === Corporate finance=== | ||
| + | - The Corporation | ||
| + | - Introduction to Financial Statements Analysis | ||
| + | - Financial Decision Making and the Law of One Price | ||
| + | - The Time Value of Money | ||
| + | - Investment Decision Rules | ||
| + | - Fundamentals of Capital Budgeting | ||
| + | - Capital Markets and The Pricing of Risk | ||
| + | - Optimal Portfolio Choice and the Capital Asset Pricing Model | ||
| + | - Estimatong the Cost of Capital | ||
| + | - Capital Structure in a Perfect Market | ||
| + | - Mergers and Acquisitiions | ||
| + | |||
| + | |||
| + | ==== Bibliography ==== | ||
| + | Check the availability of the books below at [[https:// | ||
| + | - Risk and decision | ||
| + | * [[http:// | ||
| + | * Gollier, C., Schlesinger, | ||
| + | - Statistics and decisions | ||
| + | * course handout | ||
| + | * Brockwell, P.J. and Davis, R.A. (1991). Time Series: Theory and Methods. Second Edition. New York: Springer Verlag. | ||
| + | * Box, J.E.P. and Jenkins, G.M. (1970). Time Series Analysis; Forecasting and Control. San Francisco: Holden Day. | ||
| + | - Corporate finance | ||
| + | * Berk, J. and DeMarzo, P. (2019) Corporate finance. Prentice Hall; 5th edition. | ||
| + | * [[http:// | ||
| + | * [[http:// | ||
| + | * [[http:// | ||
| + | * [[https:// | ||
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