All available courses are listed in LSF and Moodle. Detailed information as well as materials can be found on the corresponding course pages.
Advanced Seminar - Investigation of Financial Fraud
- Lecturer
- Prof. Dr. Ralf Elsas
- Assistant
- Eva Reuthlinger
- Language
- English
- Target Group
- B.Sc. Business Administration, B.Sc. Business Education I/II
- Link
- LSF
- Cycle
- Winter & summer term
- ECTS
- 6
- Teaching format
- Two mandatory in-person sessions (kick-off and final presentations) plus group meetings with the supervisor
- Content
- Financial statements of companies contain comprehensive information for various interest groups and are essential for a functioning capital market. Based on these, investors make investment decisions. Therefore, ensuring high quality reporting is important and legally required. Hiding or faking negative information are two prominent examples for financial fraud. There have been repeated cases of financial fraud in the past such as Enron, Worldcom or the most recent case of Wirecard. In the case of Enron, the price fell from over $90 per share to less than $1 after the fraud was emerged. Financial fraud does not only affect the investors but has severe negative consequences for all stakeholders of the company.
We discuss the potential implications of financial fraud for security returns and examine whether financial fraud represents a risk factor in the capital markt.
Topics will include an empirical analysis that should be conducted using the statistical software package Matlab. In addition, students will apply NLP (natural language processing) models and well-known models for fraud predicition such as the Beneish M-Score Model. - Textbook
- Beneish, M. D. (1999). The detection of earnings manipulation. Financial Analysts Journal, 55, 24-36.
Beneish, M. D. & Nichols, D. C. (2023). Identifying overvalued equity. Review of Financial Economics, 41, 408-436.
Hoberg, G. & Lewis, C. (2017). Do fraudulent firms produce abnormal disclosure?. Journal of Corporate Finance, 43, 58-85.
Bodie, Z., Kane, A., & Marcus, A. J. (2014). Investments and portfolio management. McGraw Hill Education. - Examination
- Students have to write an essay (12-15 pages) and present their results in front of other students in a 20 minutes presentation.
The course language is English. The final grade is determined by the grade of the essay and by the grade of the presentation and class participation.
Participating successfully in this seminar grants eligibility for writing a bachelor thesis at the Institute for Finance & Banking.
Matlab for Finance
- Lecturer
- Leo Schwarze
- Language
- German
- Target Group
- B.Sc. Business Administration
- Link
- LSF
- Cycle
- Summer term
- ECTS
- 6 ECTS (PO 2015), 3 or 6 ECTS (PO 2008)
- Teaching format
- In person, weekly workshops, blocked
- Content
- Das Proseminar „Matlab für Finance“ vermittelt Grundlagen in MATLAB, erläutert ökonometrische Methoden anhand von Einsatzbeispielen und vermittelt Grundtechniken des empirischen Arbeitens. Dabei werden konkrete Problemstellungen aus den Bereichen Corporate Finance, Asset Pricing und Risk Management in MATLAB umgesetzt.
- Prerequisites
- To register for the course please provide your name, student ID, campus mail and course of studies via mail ifb-hiwi@som.lmu.de.
Derivatives/Quantitative Finance
- Lecturer
- Prof. Dr. Ralf Elsas
- Assistant
- Mareike Worch
- Language
- English
- Target Group
- M.Sc. Business Administration, M.Sc. Financial and Insurance Mathematics, M.Sc. Business Education I, M.Sc. MMT, MBR
- Link
- Lecture: LSF; Tutorial: LSF
- Cycle
- Summer term
- ECTS
- 6
- Teaching format
- Lecture and tutorial
- Content
- The derivative market is bigger than the stock market when measured in terms of underlying assets. The value of the assets underlying outstanding derivatives transactions is several times the world gross domestic product. Finance departments around the world desperately need well-trained staff in risk management or trading. It is not uncommon for students who join derivatives groups to earn significant salaries. Thus, thoroughly understanding derivatives is a prerequisite for many successful careers in finance.
The course "Derivatives" provides students with an overview about forwards, futures, swaps, and options. By the end of the course, students will have good knowledge of how these products work, how they are used and how they are priced. Core questions are: How do forwards, futures, options and swaps work? Are there different valuation methodologies to price options besides the Black-Scholes-Merton model? How can we price interest rate derivatives? What are the underlying assumptions we have to make?
In particular the lecture will cover the following topics: Module one covers basic concepts and instruments such as forwards, futures, swaps. The module motivates their use and the importance to understand the different derivatives. Module 2 will cover options in detail, starting by reviewing the put-call parity, covering the underlying assumptions of the Black-Scholes-Merton model, covering the Greeks letters and the volatility smile. The following module discusses valuation methodologies such as the Monte Carlo Method and other numerical procedures to constitute our current understanding of how to price derivatives. Module four discusses interest rate derivatives.
During the lecture, if appropriate practical examples will be covered in order to motivate the relevant section. We will closely follow Hull, John C. (2018) and will expect students to read the relevant chapters and prepare the exercises.
Objectives:
Providing students on a graduate level with an advanced understanding of derivatives
Offering comprehensive understanding of valuation methodologies, including hands-on Excel based tutorials
Emphasizing extensive classroom discussions
Lecture Notes:
Please note that the course is completely organized via the elab Moodle In Moodle we will upload all lecture material and problem sets. In addition, you are able to ask questions in predesigned forms. You can log in via Moodle with your campus account, then search for “Derivatives ST XX”. The password to enrol in the course will be announced in the first lecture. In addition, we uploaded a slide with the password to the LSF. - Textbook
- Hull, John C. (2018): Options, Futures and Other Derivatives, 9th Global Edition, Pearson.
- Examination
- Students will take a 120-minutes computer-based examination
- Prerequisites
- The course is designed for master students in their advanced studies. Knowledge of finance, statistics and mathematics is a prerequisite. Application and registration starts on 01.03.2024 and ends on 10.04.2024.
You can apply until 10.04.2024, 23:59, indicating your matriculation number, field of study and number of semesters by mail
ifb-hiwi@som.lmu.de
Investment Banking/Topics in Finance
- Lecturer
- Prof. Dr. Ralf Elsas
- Assistant
- Valentin Luz
- Language
- English
- Target Group
- M.Sc. Business Administration, M.Sc. Business Education I, M.Sc. MMT, MBR
- Link
- LSF
- Cycle
- Summer term
- ECTS
- 6
- Teaching format
- Two mandatory in-person sessions (topic and case study presentation)
- Content
- This course is designed to make students familiar with fundamental concepts and issues in the area of investment banking. Its components are lectures, self-study, and student presentations on selected topics.
Note: M&A transactions for the case study will be allocated after the preparatory session.
Please notice that after the topics have been allocated at the preparatory session your participation is binding. In case of a non-taking part it will be marked with a 5.0 grade (failed) - Textbook
- Copeland / Koller / Murrin (2000): Valuation: Measuring and Managing the Value of Companies, Third Edition, Wiley.
Damodaran (2002): Investment Valuation, 2nd edition, New York.
Hull (2003): Options, Futures, and Other Derivatives, Fifth Edition, Upper Saddle River NJ.
Weston / Mitchell / Mulherin (2003): Takeovers, Restructuring, and Corporate Governance, 4th edition, New Jersey. - Examination
- Students have to individually prepare a case study illustrating an M&A transaction and discuss three papers on topics relevant for investment banking in short written assignments. The case study will be presented and discussed.
- Prerequisites
- This course can be only attended on Master-level. Wirtschaftsmathematik (Master) students can also apply for this course. Basic knowledge of concepts from finance and banking is necessary. It can be helpful to have attended the course “Advanced Risk Management” but it is not a prerequisite. Application and registration starts on 01.03.2024 and ends on 10.04.2024.
You can apply until 10.04.2024, 23:59, indicating your matriculation number, number of semesters by mail ifb-hiwi@som.lmu.de
Project Course Finance
- Lecturer
- Leo Schwarze
- Language
- German
- Target Group
- M.Sc. Business Administration
- Link
- LSF
- Cycle
- Winter & summer tern
- ECTS
- 12
- Teaching format
- In person, weekly workshops, blocked
- Content
- The Projektkurs Finance consists of two parts. The Institute for Finance & Banking organizes the first part. In Part 1, students are introduced to the fundamentals of Matlab as well as techniques for empirical work. These are applied to problems in the field of Financial Modeling and Algorithmic Trading. Students work on an assignment in small groups, in which, for example, a given trading strategy should be implemented, calibrated, and tested with historical data (backtesting). The second part of the course is led by the Institute for Capital Markets and Corporate Finance. Students can use their knowledge from Part 1 to understand the methods and analyses of assigned papers and replicate them with their own data. Finally, the results of this work are presented and discussed in front of all participants.
- Textbook
- -
Quantitative Methods
- Lecturer
- Prof. Dr. Ralf Elsas
- Language
- English
- Target Group
- MBR
- Link
- LSF
- Cycle
- Summer and winter term
- ECTS
- 2 SWS
- Course format
- Seminar
- Course description
- The course serves to make students familiar with basic statistical methodologies and econometric methods that are nowadays applied throughout all research areas in business administration and economics. The course follows a “hands-on” principle throughout, i.e. all statistical methods will be illustrated and trained by practical applications using econometric packages, primarily MATLAB.
The core methods and issues covered by the course comprise:
1. Estimation Frameworks: least squares, maximum likelihood, and generalized method of moments
2. Statistical Inference
3. OLS: properties, assumptions, consequences of assumption violations, robust estimation
4. Endogeneity: consequences in the OLS framework, instrumental variables and two-stage estimation, quality of instruments
5. Limited Dependent Variables: probability models, Logit/Probit estimation
6. Panel Data: properties, fixed vs. random effects estimationLecture NotesLecture notes and data files will be sent to the students by mail before the beginning of the course. For your personal benefit, please familiarize yourself with the econometric packages before the first lecture (information on MATLAB licenses see below).
Lecture notes and data files will be sent to the students by mail before the beginning of the course. For your personal benefit, please familiarize yourself with the econometric packages before the first lecture (information on MATLAB licenses see below). - Literature
- Greene, W. (2007): Econometric Analysis, newest edition, Prentice-Hall.
Johnston, J, / diNardo, J. (1996): Econometric Methods, fourth edition, MacGraw-Hill.
Wooldridge, J. (2009): Introductory Econometrics: A Modern Approach. South Western College Publishing.
Hair, J. F., W. C. Black, B. J. Babin, and R. E. Anderson (2010). Multivariate Data Analysis. A Global Perspective, 7th edition, Upper Saddle River et al.: Pearson.
Mooi, E. A. and M. Sarstedt (2011). A Concise Guide to Market Research. Process, Data and Methods, Berlin et al.: Springer. - Examination
- Part of your assignment for the course is to analyze the statistical properties of an estimator chosen from your field of research by doing a Monte-Carlo simulation. The assignment should comprise about five pages. Processing time will be six weeks.
- Prerequisites
- This course can only be attended by doctoral students (MBR programme).
You will need to use MATLAB to do the Monte-Carlo Simulation. Therefore each student needs a PC and the statistical software Package MATLAB. MATLAB licenses are available from the “Educational Lizenzpool”. For further information concerning MATLAB licenses please contact Moritz Scherrmann scherrmann@lmu.de. A guide for MATLAB can be downloaded from: http://www.mathworks.com/help/pdf_doc/matlab/getstart.pdf.
Mathworks offers a 2h tutorial which shows the basics in Matlab:https://de.mathworks.com/learn/tutorials/matlab-onramp.html. If you do not have any experience with Matlab, please work your way through the guide and the tutorial. During the course there is no time to repeat the very basics of Matlab.
The MATLAB Econometrics Toolbox can be downloaded for free from http://www.spatial-econometrics.com/. This toolbox includes functions which are helpful for econometric analysis.