Quantitative Finance

To introduce students to the application of methods of quantitative finance in the financial practice primarily in corporate finance. Special attention will be paid to the famous theory of CAMP and the method for estimating the value of options, the understanding of the problem of capital structure, agency theory and modern quantitative methods for assessing the value of the company and complex corporate securities.

The best possible application of quantitative finance is in the mastering of important methodological solutions in optimizing the ownership structure of the companies. In this manner students will also consider the optimal level of indebtedness of companies in conditions where there are no agency problems, and the Modigliani-Miller's theorem and other theories.

The equilibrium estimate of long-term securities; Dynamic completion of the market; Application of binominal method of estimating the value of options; Application of Black-Scholes method for estimating the value of options; put-call parity; Introduction to the theory of capital structure of the company; Modigliani-Miller Theorem I and II without risk; Modigliani-Miller Theorem I and II in terms of risk; The tradeoff theory; Other theories of capital structure; APT and WACC theories of valuation of companies; Examples of valuation of the company; Estimating the value of corporate bonds; Estimating the value of the warrant; Value at risk.

1. Urošević, B. (2009). Kvantitativne metode u korporativnim finansijama. Beograd: Ekonomski fakultet.

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Exam, seminary work

Presentation, discussions and analyzes of typical cases, case studies, seminary papers