Fundamentals of Finance and Investments
Lausanne, July 19-23, 2010 • ALFRED METTLER
Objectives: This course achieves an extraordinary impact in understanding a large area of finance in a single week. The course takes great care to explain the modern financial concepts used in investment management and risk management. But it then immediately goes on to deepen this conceptual understanding by applying the respective ideas to practical situations. The course is intense as it mixes lectures, group work, excel based exercises, and short self assessments to help monitor individual progress.
Note: This one-week seminar also serves as an optional introductory module for the Financial Asset Management and Engineering (FAME) Program of the Swiss Finance Institute, in Lausanne.
Target audience: This course is suited for people of all levels who wish to deepen their understanding of modern financial concepts beyond the "buzzwords":
- Lawyers and general managers with limited investment finance background. Past participants from this group have found this course to be demanding, but have stated that they have greatly benefitted from it.
- Professionals with a formal mathematical education, such as in economics, physics or mathematics, who wish to augment their formal abilities with an understanding of modern concepts used in the finance industry.
- Participants of Executive MBAs who wish to brush up their formal understanding of finance as a preparation for their Executive MBA.
Fees: The fee for this course is CHF 4.000 (incl. VAT). This covers tuition, extensive course material (including pre-course readings), lunches and social events. For participants of the FAME Program 2010 the fee is reduced to CHF 2.000.
Accreditation: CFA 36 CE credits (if taken as a one-week course part of the Geneva Executive Courses in Finance)
Key topics: Statistics for asset management (computation of return and volatility, linear regression, hypothesis testing); modern portfolio theory (risk and return, diversification, efficient frontier); bond pricing (duration, convexity, interest-rate immunization); futures and options (spot-future parity, Black-Scholes); value at risk
COURSE CONTENT
1. Financial Environment
- Time value of money.
- Interest rates, term structure, term structure theories.
- Financial market data and random processes.
2. Value at Risk (VaR)
- Modeling of stock prices.
- Concept and applications of Value at Risk (VaR).
- Shortfall risk.
3. Risk and Return
- Concepts of risk and return.
- Risk tolerance and asset allocation.
- Capital Asset Pricing Model (CAPM).
4. Modern Portfolio Theory
- Diversification and portfolio risk.
- Optimal risky portfolios.
- Asset allocation examples.
5. Duration and Asset and Liability Management
- Bond prices and yields.
- Duration and interest-rate risk.
- Examples of Asset and Liability Management (ALM).
6. Fixed-Income Portfolio Management
- Extended duration concepts, convexity.
- Interest-rate swaps.
- Management of interest-rate risk.
7. Financial Futures
- Futures contracts.
- Spot-futures parity.
- Applications of index futures, interest-rate futures, currency futures.
8. Options
- Option contracts.
- Payoff diagrams.
- Option strategies.
9. Option Valuation
- Determinants of option values.
- Binomial option pricing.
- Black-Scholes option valuation.
10. Risk Management with Derivatives
- Options on stocks and other financial assets.
- Structured products.
- Risk management applications with futures and options.
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