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Master of Science Program in Finance (International Program)
Thammasat Business School
Course Syllabus
Semester / Academic Year: Pre-course 2017
MF 501 Mathematics for Finance I (MIF#19)
Instructor: Pantisa Pavabutr
Email: [email protected]
Office hours: by appointment
Materials Covered:
Objectives:
This course aims to provide financial mathematical background for students entering the graduate
program in finance. The course content includes the concept of time value of money and its
applications especially for use in the area of financial asset valuation and capital budgeting; the
rudiments of probability theory and statistics relevant to the theory of investment and introductory
linear algebra involving matrix operation such as determinant and inverse of matrix. Introduction to
optimization with applications in portfolio choice, economics of decision making, and econometrics.
Main text: Pantisa Pavabutr, Mathematics for Financial Applications, 2017.
Supplemental reading list:
Andrilli, and Hecker, Elementary linear algebra, Harcourt. 1999
Defusco, McLeavey, Pinto, and Runkle, Quantitative investment analysis, 2004, Second edition
Maths tool box Applications
Time value of money Investment and savings problems, capital
budgeting, loans, and cost of capital
Probability theory and statistics Capital budgeting under uncertainty, valuation
risk, distributions of asset returns
Matrix algebra Portfolio investment performance and risk
Optimization Optimal portfolio selection, Economics of
decision making, econometrics
Tentative Schedule
Week/Date Topics Activities/
Text&Materials
#1: March 5: 13.00-16.00
Room 213
Overview of mathematics and finance
Time value of money and applications
in personal finance, corporate finance, and
investments.
Chapters 1 and 2
#2: March 18: 9.00-12.00
Room 205
Capital budgeting Chapter 3
#3: March 25: 9.00-12.00
Room 307
Probability theory Chapter 4
#4: March 29: 18.00-21.00
Room To be announced
Distributions of random variables Chapter 5
#5: April 1: 9.00-12.00
Room 208
Excel applications
Mortgage problems
Computing cost of capital
Distributions and parameters
Resampling procedures
Computer practice: Bring
your lap top to class
#6: April 8: 9.00-12.00
Room 208
Excel applications continued:
Matrix algebra
Chapter 6
Computer practice: Bring
your lap top to class
#7 April 22: 9.00-12.00
Room 208
Optimization Chapter 7
Master of Science Program in Finance (International Program)
Thammasat Business School
Course Syllabus
Semester / Academic Year: Pre-course 2017
MF 502 Mathematics for Finance II (MIF#19)
Instructor: Assistant Professor Supranee Lisawadi, Ph.D.
Email: [email protected], [email protected]
Required Textbooks: James Stewart, Calculus, 8th ed., Thomson Brooks/Cole, 2016.
Supplement Textbooks:
1. [EMEA] Knut Syds_ter and Peter Hammond, Essential Mathematics for Economic
Analysis, 3rd ed., Prentice-Hall, 2008.
2. [FMME] Alpha C. Chiang and Kevin Wainwright, Fundamental Methods of Mathematical
Economics, 4th ed., McGraw-Hill, 2005.
Course Description:
This course provides the mathematical background in calculus necessary to understand how
mathematical techniques are used in finance. The course includes relevant topics in calculus, such as
functions, limits and continuity, the derivatives, analysis of functions, applications of derivatives, and
integration and principles of integral evaluation, etc.
Objectives:
The objective of this pre-course is to teach the students to be able to solve basic optimization
problem using calculus, hence, the course will focus on solving and practicing rather than proving
theories.
Final Exam:
The final exam is scheduled on Saturday, May 6th 2017 (9.00am – 12.00pm). The final exam is closed
book exam and it covers every topics studied in this pre-course.
Tentative Schedule:
Date Time Topic Note
Sun. Mar 12, 2017 09:00a.m. - 12:00p.m. Limits Ch. 2
Sun. Mar 19, 2017 09:00a.m. - 12:00p.m. Derivatives Ch. 3
Wed. Mar 22, 2017 06:00p.m.- 09:00p.m. Applications of Differentiation Ch. 4
Sun. Mar 26, 2017 09:00a.m. - 12:00p.m. Applications of Differentiation Ch. 4
Sun. Apr 2, 2017 09:00a.m. - 12:00p.m. Integrals Ch. 5
Sun. Apr 9, 2017 09:00a.m. - 12:00p.m. Technique of Integration Ch. 7
Sun. Apr 23, 2017 09:00a.m. - 12:00p.m. Partial Derivatives Ch. 14
Sat May 6, 2017 09:00a.m. - 12:00p.m. Final Examination
Master of Science Program in Finance (International Program)
Thammasat Business School
Course Syllabus
Semester / Academic Year: Pre-course 2017
MF503 Basic Econometrics (MIF#19)
Course Description
This course emphasizes on statistical concepts needed for study and understanding econometrics.
Statistical concepts include descriptive statistics, inferential statistics, and probability distribution
theories. The course focuses on basic concept in regression analysis including the Ordinary Least
Squares (OLS) estimation method, hypothesis testing of parameters, dummy variables regression
model, and predicting of both simple and multiple regression models.
This course also focuses on the applications of econometrics software to estimate financial models.
The students will learn about the sources of economic and finance data, how to prepare the data for
the econometrics software, formulate the model and estimate the model using Ordinary Least Square
method. The course enables the students to interpret the estimation results generated by econometrics
software.
Objectives
This course aims to introduce statistics and econometrics methodologies. The objective is to prepare
students for graduate level empirical research. Statistics methodology focuses mainly on probability
theory, statistical estimation, hypothesis testing, analysis of variance, and correlation. Econometrics
methodology emphasizes on model formulation, estimation method, and applications of the model.
The course also aims to have students learn how to use computer software to analyze survey data,
estimate and interpret econometric models by letting students work on empirical assignments
concerning on each topic.
Instructor
Name: Associate Professor Tatre Jantarakolica, Ph.D.
Office: Room #9 Faculty of Economics, Thammasat university (Tha-pra chan)
E-mail: [email protected]
Required Text:
Lind, D.A., Marchal, W.G., & Wathen, S.A. (2008). Statistical Techniques in Business & Economics. 13th
ed. Singapore: McGraw-Hill.
Gujarati, D.N. & Porter, D.C. (2009). Basic Econometrics. 5th ed. Singapore: McGraw-Hill, Inc.
Berndt, E.R. (1991). The Practice of Econometrics: Classic and Contemporary. New York: Addison-Wesley
Publishing. (Chapter 2)
Additional Text:
Baltagi, B.H. (2002). Econometrics. 3rd ed. Berlin: Springer-Verlag.
Dougherty, C. (2002). Introduction to Econometrics. 2nd ed. Oxford: Oxford University Press.
Greene, W.H. (2003). Econometric Analysis. 5th ed. Upper Saddle River, NJ: Prentice Hall.
Hill, R.C., Griffiths, W.E., & Judge, G.G. (2001). Undergraduate Econometrics. 2nd ed. New York, NY:
John Wiley & Sons, Inc.
Johnston, J., & DiNardo, J. (1997). Econometric Methods. 4th ed. Singapore: McGraw-Hill.
Pindyck, R.S., & Rubinfeld, D.L. (1998). Econometric Models and Economic Forecasts. 3rd ed.
Singapore: McGraw-Hill.
Wooldridge, J.M. (2006). Introductory Econometrics: A Modern Approach. 3rd ed. Mason, OH:
Thomson South-Western.
Grading
Assignments 30%
Computer Lab Exam 20%
Final 50%
Course Outline:
1. Bivariate Statistical Analysis
Basic Statistics
Descriptive Statistics
- Frequency
- Describing Data
Inferential Statistics
- Survey of Probability Concepts
- Discrete Probability Distribution
- Continuous Probability Dist.
- Normal Probability Distribution
Hypothesis Testing
- Sampling Methods
- Central Limit Theorem
- Confidence Interval
Parametric Tests
- One-Sample Tests of Hypothesis
- Two-Sample Tests of Hypothesis
- Analysis of Variance
- Covariance and Correlation
Nonparametric Tests
2. Linear Regression Models
Econometrics Methodology
Estimation Method
Estimated Result Interpretations
Hypothesis Testing
Dummy Variables Regression Model
3. Problems – Violation of OLS assumptions
Multicollinearity
Specification Errors
Autocorrelation
Heteroscedasticity
4. Least Squares Estimation Methods – Matrix Approach
Class Schedule
Date/Time Topics Reading Assignment
1 9/3/2017
18:00-21:00
1. Bivariate Analysis
Introduction to Statistics
Descriptive Statistics
- Frequency
- Describing Data
Lind 1-4
Assignment 1
2 16/3/2017
18:00-21:00
Inferential Statistics
- Probability Concepts
- Normal Probability Distribution
Parametric Hypothesis Testing
- One-Sample Tests of Hypothesis
- Two-Sample Tests of Hypothesis
- Analysis of Variance (ANOVA)
- Covariance and Correlation
Lind 5-10
3 23/3/2017
18:00-21:00
Nonparametric Hypothesis Testing
Lind 15-16
4 30/4/2017
18:00-21:00
2. Linear Regression Model
Econometrics Methodology
Estimation Method
- OLS
- Assumptions
G. 1-4
Assignment 2
5
Fri.7/4/2017
18:00-21:00
Estimated Result Interpretations
- Meaning of Coefficients
- Overall Test
- R-squares
- Individual Test
G. 5-7
6 20/4/2017
18:00-21:00
Hypothesis Testing
Dummy Variable Technique G. 8-9
7
Fri.21/4/201
7
18:00-21:00
3. Problems
Violation of OLS assumptions
Multicollinearity
Specification Error
G. 7-8
Assignment 3
8 27/4/2017
18:00-21:00 Autocorrelation G. 9
9 4/5/2017
18:00-21:00 Heteroskedasticity G. 10 - 12
10 11/5/2017
18:00-21:00
Least Squares Estimation Methods
Matrix Approach G. 13
Tue. 16/5/2017
18:00-21:00 Final
Thu. 18/5/2017
18:00-21:00 Lab Exam
Master of Science Program in Finance (International Program)
Thammasat Business School
Course Syllabus
Semester / Academic Year: Pre-course 2017
MF 504 Basic Economics (MIF#19)
Course Description
This course provides the tools of basic economics analysis including the concepts of opportunity costs,
choice, and supply and demand. It also covers macroeconomics which looks at large issues such as
economic growth, inflation, unemployment, fiscal and monetary policies and issues affecting the
entire economy.
Objectives
It is the goal of the course for the students to understand:
What a market is, how we determine the boundaries of a market, and measure market price.
How a competitive market works and how supply and how demand determine the prices and
quantities of goods and services. We also show how supply and demand analysis can be used to
determine the effects of changing market conditions, including government intervention.
How consumers make consumption decisions, how their preferences and budget constraints
determine their demand for various goods.
How firms combine inputs to produce goods and services in a way to minimize the costs of
production. We then show how firms choose profit-maximizing rates of production.
How to apply supply and demand curves to the analysis of competitive markets. How
government policies can have wide-ranging effects on consumers and producers.
Instructor
Name: Associate Professor Dr. Chaiyuth Punyasavatsut
Office: Room 7, fourth floor 60th anniversary building, Faculty of Economics
E-mail: [email protected]
Tel: 081-400-1544
Class Venue
Tuesday. Time: 06:00 p.m. - 09:00 p.m.
Main Text:
Pindyck, Robert S. and Rubinfeld, Daniel L. (2012) Microeconomics. 8th Edition, Pearson Prentice
Hall.
Supplementary Reading for fun:
Harford, Tim (2005) The Undercover Economist. Oxford University Press.
Harford, Tim (2008) The Logic of Life: The Rational Economics of an Irrational World.
Random House.
Lewitt, Steven D. and Stephen J. Dubner (2009) Freakonomics: A Rogue Economist Explores
the Hidden Side of Everything
Online Resources:
www.prenhall.com/pindyck
www.economist.com/ The Economist
repec.org/ RePEc: Research Papers in Economics
www.afajof.org The American Finance Association, publishers of the Journal of Finance.
http://www.Rfe.org American Association Web, resources for Economists on the Internet.
http://www.jfe.rochester.edu/ Journal of Financial Economics
http://depts.washington.edu/jfqa/ Journal of Financial and Quantitative Analysis
Blogspot:
G. Mankiw http://gregmankiw.blogspot.com/2012/03/macro-8e.html
Gary Becker-Richard Posner http://www.becker-posner-blog.com/
Steven Lewitt and Stephen Dubner http://freakonomics.com/blog/
Grading
Three Assignments. 60%
One Examination. 40%
Schedule of Classes
Sessions Date Topics Reading
1
Tue. Mar 7 Introduction: Markets and Price:
Basics of Supply and Demand
Basics of Supply and Demand
- Supply curve
- Demand curve
Market Equilibrium
Change in Market equilibrium
Chapter 2:
2.1-2.4
2 Tue. Mar 14 Basic of Supply and Demand (continued.)
Elasticities of supply and demand
Short-run and long-run elasticities
Effects of Government Interventions
Applications
2.4—2.7
Assignment 1
3
Tue. Mar 21
Consumer Behavior
Consumer Preferences
Budget Constraints
Consumer’s choices
Individual demand
Individual and Market Demand
Income and Substitution Effects
Market Demand
Chapter 3 & 4
4 Tue. Mar 28
Optimization with Constraint : Utility maximization
problem
Chapter 3
appendix
Assignment 2
5
Tue. Apr 4 Production
Firms Decision
Production Technology
Production with one variable input
Production with two variable inputs
Cost of Production
Measuring Cost, Short-run, long-run
Long-run and short-run cost curves
Optimization with constraint: Cost Minimization
problem
Chapter 6 & 7
6 Tue. Apr 18
Profit Maximization and Competitive Supply
Perfectly Competitive Markets
Profit Maximization decision
Choosing outputs in the short run
Short-run Market Supply Curve
Choosing output in the long run
Optimization with constraint: Profit Maximization
Chapter 8
Assignment 3
7 Mon. Apr 24
***
The Analysis of Competitive Markets
Evaluating gains and losses from government
policies—consumer surplus and producer surplus
Efficiency of a Competitive market
Minimum Wages
Chapter 9
8 Tue. Apr 25 Imperfect Competition: Market Power
Price and Output Setting Under Monopoly
Price discrimination
Chapter 10
Final Exam: Tuesday May 9, 2017 06:00 p.m. – 09:00 p.m. Room 205
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Master of Science Program in Finance (International Program)
Thammasat Business School
Course Syllabus
Semester / Academic Year: Pre-course / 2017
MF505 Fundamental Accounting and Finance (MIF#19)
I. General Information Course Title: MF505 Fundamental Accounting and Finance Course description: This course explores foundations of accounting and finance. These include
the function of accounting in identifying, recording and classifying financial transaction and preparation of financial statements. This course also includes basic finance such as financial ratio analyses and studying the functions of finance.
Course Credit: 1.5 credits. Prerequisite: None. Instructor #1: Assistant Professor Dr. Orapan Yolrabil Contact information: [email protected]
Office of Associate Deans 0-2613-2201
Instructor #2: Assistant Professor Dr. Chaiyuth Padungsaksawasdi Contact information: [email protected]
Room TBS#556 TBS Building 0-2613-2283
Course Coordinator: Assistant Professor Dr. Orapan Yolrabil Facebook Group: http://www.facebook.com/groups/MF505.MIF.P.2017/
Please join class FB group for better communication between instructors and students.
Weekday: Class Dates: Mondays and Wednesday Class Time: 06:00 p.m. - 09:00 p.m. Class Venue: TBS Building Weekend: Class Dates: Saturdays and Sundays Class Time: 01:00 p.m. - 04:00 p.m. Class Venue: TBS Building
Please include the following title in the subject area of your email sending to us “MF505-MIF-P-2017”
[course number-program-semester-academic year]. For example, if you would like to ask questions related to Financial Statements,
you can send email with the title “MF505-MIF-P-2017: Questions about Financial Statements”.
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II. Course objectives and relevance Key learning objectives: The purposes of this course are as follows:
2.1. To discuss the role of accounting and financial statements as a window through which to see how economic events affect business.
2.2. To introduce the accounting conceptual framework as well as accounting procedures. 2.3. To discuss the tools and techniques in performing financial statement analysis. 2.4. To familiarize students with the basic concepts of finance.
Development and relevance: Accounting is a business language. Thus, understanding accounting information is a key in understanding business. Moreover, the accounting information is an essential input for financial analysis. The first part of this pre-course is, therefore, intended to acquaint students to accounting and financial information in financial statements. Finally, since some students have very limited prior exposure to finance, the second part of the pre-course serves students as a basic foundation in finance for their future rigorous finance coursework. III. Method of Delivery This class employs the following approaches to learning:
3.1. Class lecture 3.2. Class discussion 3.3. Practices
IV. Knowledge domain
Knowledge domains Corresponding topics or class activities
Evaluation/ Percentage of total assessment (%)
4.1. Ethical and professional standards
Lecture and class discussion
All aspects of knowledge domains will be tested in the quizzes (20%) and a final exam (80%). Moreover, the additional assignments on the related topics will be given in class.
4.2. Body of knowledge
Lecture, class discussion, and practices
4.3. Analytic thinking Lecture, class discussion, and practices
4.4. Interpersonal skills Class discussion made in group
4.5. Quantitative and computer skills
Practices
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V. Course schedule and assessment
Session Topic
Part I: Accounting (Assistant Professor Dr. Orapan Yolrabil) Sessions 1-4: (1) Saturday, March 11, 2017, Time 01:00 p.m. - 04:00 p.m. Room 205 (2) Sunday, March 12, 2017, Time 01:00 p.m. - 04:00 p.m. Room 207 (3) Saturday, March 25, 2017, Time 01:00 p.m. - 04:00 p.m. Room 307 (4) Sunday, March 26, 2017, Time 01:00 p.m. - 04:00 p.m. Room 207
Course overview Accounting and business decisions; Functions of accounting; Users; Accounting information; Accounting system; Business activities; Business transactions
Annual Reports and Financial Statements Accounting framework: Policies and Principles applied; Annual reports; Financial statements: Statement of financial position, Statement of income, Statement of changes in owners’ equity, Statement of cash flows; Financial statement articulation; Financial statement presentation and note disclosures
Accounting Cycle Double-entry accounting system; Accrual basis vs. Cash basis; Debit-Credit framework; Accounting Cycle: Journal entries, Ledger, Adjusting entries, Closing entries, Adjustments, Closing process, Trial balances, Financial statement preparation
Statement of Cash Flows Classifications; Statement structure; Cash flows from operating activities, investing activities, and financing activities; Direct vs. Indirect method; Statement of cash flows disclosures; Noncash investing and financing activities; Supplemental cash flows information; Interpretation of cash flows information
Part II: Finance (Assistant Professor Dr. Chaiyuth Padungsaksawasdi) Sessions 5-8: (5) Monday, April 3, 2017, Time 06:00 p.m. - 09:00 p.m. Room 208 (6) Monday, April 10, 2017, Time 06:00 p.m. - 09:00 p.m. Room 208
(7) Saturday, April 22, 2017, Time 01:00 p.m. - 04:00 p.m. Room 205
(8) Wednesday, April 26, 2017, Time 06:00 p.m. - 09:00 p.m. Room 208
Financial statement analysis Users; Benchmarks; Ratio analysis: Liquidity ratios, Activity or asset utilization or asset management ratios, Leverage or debt management ratios, Profitability ratios, Other ratios, The du Pont and Extended Du Pont models; Common-size analysis; Trend analysis; Limitations of financial statement analysis
Overview of business finance Definition of business finance; Introductory concepts of finance: Opportunity cost, Risk-return trade-off; Financial managers’ responsibilities: Financing, Investing; Finance in the organizational structure of the firm; Goals of financial management; Wealth maximization and profit maximization; Agency relationship; Career opportunities in finance: Financial management; Investments; Financial institution management; Financial environments
Assessment:
Assignments and Quizzes (10% each for Accounting and Finance) 20% Final Exam (40% each for Accounting and Finance) 80%
Total 100.00%
(Note that weighting assigned might be changed as instructors see fit) Please note that the final exam date is scheduled on Saturday, May 13, 2017 during 09:00 a.m. - 12:00 noon at Room TBS#208.
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VI. Supplementary class materials Kimmel, Weygandt, and Kieso (2013). Financial Accounting: Tools for Business Decision
Making 7th Edition (International Student Version). John Wiley & Sons, Inc. Koh, Ang, Brigham, and Ehrhardt (2014). Financial Management Theory and Practices (Asian
Edition). South-Western. Williams, Haka, Bettner, Carcello, Lam and Lau (2015). Financial Accounting 2nd (Asia Global)
Edition. McGraw-Hill. VII. Course evaluation and development process
7.1. Student evaluation of course There will be two evaluations per course: Pre-mid-term evaluation (session 3) and post-mid- term evaluation (session before final class).
7.2. Peer review system 7.2.1. Instructor receives feedback of course syllabus from peer group report 7.2.2. Instructor receives feedback of teaching from peer group report
7.3. Class improvement 7.3.1. Faculty receives feedback from student evaluations: One after session 3 and one
conducted on session before last. 7.3.2. Annual faculty academic meeting
7.4. Evaluation of learning outcomes 7.4.1. Faculty end of semester evaluation of students 7.4.2. Assessment of student performance in exams
7.5. Course development 7.5.1. Annual faculty academic meeting 7.5.2. Accommodate case study from industry practice and current research in curriculum.