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Thammasat Business School, Thammasat University

Course Syllabus

Semester: Pre-course 2016

MF501 Mathematics for Finance I

Instructor: Pantisa Pavabutr

Email: pantisa_p@yahoo.com

Office hours: by appointment

Materials Covered:

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 Optimal portfolio selection, portfolio

investment performance and risk

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.

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Tentative Schedule

Session Date & Time Topic Reading List

1 March 5, 2016

(01:00 – 04:00 p.m.)

Course overview: Finance and mathematics

tool box

Time value of money

Simple Interest vs Compound Interest

Present Value (PV) and Future Value (FV)

General asset pricing

Sources of financing and cost of capital

Loan Amortization

Bond valuation

Retirement planning

Handouts

2 March 12, 2016

(09:00 a.m. – 12:00 noon)

3 March 19, 2016

(09:00 a.m. – 12:00 noon)

Capital budgeting

Pay back period, discounted pay back

NPV, IRR, MIRR

Cost of capital

Handouts

4 March 26, 2016

(09:00 a.m. – 12:00 noon)

Probability theory, distributions of random

variables, and types of returns

Unconditional, conditional probability,

and Bayes Rules

Common probability distributions:

Uniform, binomial, normal, and lognormal

Measures of central tendency

Measures of dispersion

Higher moments

Handouts

5 April 2, 2016

(09:00 a.m. – 12:00 noon)

6 April 9, 2016

(09:00 a.m. – 12:00 noon)

Introduction to matrix algebra

Matrix Operations

Singular and Nonsingular Matrices

Determinant and Inverse of a Matrix

Measuring return and risk in investments

Portfolio returns and risk

Handouts

7 April 23, 2016

(09:00 a.m. – 12:00 noon)

Exam April 30, 2016

(09:00 a.m. – 12:00 noon)

Readings

Pantisa Pavabutr: Couse packet with self-test exercise

Supplemental reading list:

Andrilli, and Hecker, Elementary linear algebra, Harcourt. 1999

Defusco, McLeavey, Pinto, and Runkle, Quantitative investment analysis, 2004, Second edition

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Thammasat Business School, Thammasat University

Course Syllabus

Semester: Pre-course 2016

MF502 Mathematics for Finance II

Instructor: Asst. Prof. Supranee Lisawadi, Ph.D.

Email: supranee@mathstat.sci.tu.ac.th, lisawadi@gmail.com

Required Textbooks: James Stewart, Calculus, 7th ed., Thomson Brooks/Cole, 2010.

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 Sunday, May 14th 2016 (9.00am – 12.00pm). The final exam is closed

book exam and it covers every topics studied in this pre-course.

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Tentative Schedule:

Date Time Topic Note

Fri. Mar 18, 2016 06:00 p.m.- 09:00 p.m. Limits Ch. 1

Sat. Mar 19, 2016 01:00 p.m.- 04:00 p.m. Derivatives Ch. 2

Sat. Mar 26, 2016 01:00 p.m.- 04:00 p.m. Applications of Differentiation Ch. 3

Sat. Apr 2, 2016 01:00 p.m.- 04:00 p.m. Applications of Differentiation Ch. 3

Sat. Apr 9, 2016 01:00 p.m.- 04:00 p.m. Integrals Ch. 4

Sat. Apr 23, 2016 01:00 p.m.- 04:00 p.m. Technique of Integration Ch. 7, 8

Sat. Apr 30, 2016 01:00 p.m.- 04:00 p.m. Partial Derivatives Ch. 14

Sat. May 14, 2016 09:00 a.m. - 12:00 noon Final Examination

Syllabus Basic Econometrics (MF503)

Thammasat Business School, Thammasat University

Course Syllabus

Pre-course 2016 MF503 Basic Econometrics

Course Descriptions:

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.

Course 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: Assoc. Prof. Tatre Jantarakolica, Ph.D.

Room #9 Faculty of Economics

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)

Syllabus Basic Econometrics (MF503)

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.

Evaluation:

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

Syllabus Basic Econometrics (MF503)

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 17/3/2016

18:00-21:00

1. Bivariate Analysis

Introduction to Statistics

Descriptive Statistics

- Frequency

- Describing Data

Lind 1-4

Assignment 1

2 24/3/2016

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 31/3/2016

18:00-21:00 Nonparametric Hypothesis Testing Lind 15-16

4 7/4/2016

18:00-21:00

2. Linear Regression Model

Econometrics Methodology

Estimation Method

- OLS

- Assumptions

G. 1-4

Assignment 2

5

8/4/2016

18:00-21:00

Estimated Result Interpretations

- Meaning of Coefficients

- Overall Test

- R-squares

- Individual Test

G. 5-7

6 Make-up

18:00-21:00

Hypothesis Testing

Dummy Variable Technique G. 8-9

7 21/4/2016

18:00-21:00

3. Problems

Violation of OLS assumptions

Multicollinearity

Specification Error

G. 7-8

Assignment 3 8

22/4/2016

18:00-21:00 Autocorrelation G. 9

9 28/4/2016

18:00-21:00 Heteroskedasticity G. 10 - 12

10 12/5/2016

18:00-21:00

Least Squares Estimation Methods

Matrix Approach G. 13

17/5/2016

18:00-21:00 Final

19/5/2016

18:00-21:00 Lab Exam

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Thammasat Business School, Thammasat University

Course Syllabus

Semester: Pre-course 2016

MF504 Basic Economics

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 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 combines 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: Dr. Chaiyuth Punyasavatsut

Office: Room 7, fourth floor 60th anniversary building, Faculty of Economics

E-mail: chaiyuth@econ.tu.ac.th

Tel: 081-4001544

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Class Venue:

Time: Tue. 06:00 p.m. - 09:00 p.m. Room: 208

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:

http://www.prenhall.com/pindyck

www.economist.com/ The Economist

repec.org/ RePEc: Research Papers in Economics

http://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:

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 75%

One Examination 25%

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Schedule of Classes

Sessions Date Topics Reading

1

Tue. Mar 8 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 15 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

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Tue. Mar 22

Consumer Behavior

Consumer Preferences

Budget Constraints

Consumer’s choices

Individual demand

Individual and Market Demand

Income and Substitution Effects

Market Demand

Chapter 3 and 4

4*** Fri. Mar 25

Optimization with Constraint:

Utility maximization problem

Chapter 3

appendix

Assignment 2

5

Tue. Mar29 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

Chapter 6 and 7

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Sessions Date Topics Reading

Optimization with constraint:

Cost Minimization problem

6 Tue. Apr 12

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 Tue. Apr 19 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 26 Imperfect Competition: Market Power

Price and Output Setting Under Monopoly

Price discrimination

Chapter 10

Final Exam: Tuesday May 3, 2016 Room: 208

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Master of Science Program in Finance - International Program (MIF)

Thammasat Business School, Thammasat University Course Syllabus

Semester/Academic Year: Pre-course 2016 MF505 Financial Accounting and Finance

I. General Information Course Title: MF505 Financial 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: 2 credits. Prerequisite: None. Instructor #1: Assistant Professor Dr. Orapan Yolrabil Contact information: orapan@tbs.tu.ac.th

Room TBS#112 TBS Building 0-2613-2208

Instructor #2: Assistant Professor Dr. Chaiyuth Padungsaksawasdi Contact information: chaiyuth@tbs.tu.ac.th

Room TBS#556 TBS Building 0-2613-2269

Course Coordinator: Assistant Professor Dr. Orapan Yolrabil Facebook Group: http://www.facebook.com/groups/MF505.MIF.P.2016/

Please join class FB group for better communication between instructors and students.

Class Dates: Mondays, Wednesdays and Friday Class Time: 06:00 p.m. – 09:00 p.m. Class Venue: TBS Building (Please refer to class schedule for venue)

Please include the following title in the subject area of your email sending to us “MF505-MIF-P-2016”

[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-2016: 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) Friday, March 11, 2016, Time 06:00 p.m. – 09:00 p.m. Room TBS#208 (2) Wednesday, March 16, 2016, Time 06:00 p.m. – 09:00 p.m. Room TBS#208 (3) Wednesday, March 23, 2016, Time 06:00 p.m. – 09:00 p.m. Room TBS#208 (4) Wednesday, March 30, 2016, Time 06:00 p.m. – 09:00 p.m. Room TBS#208

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 4, 2016, Time 06:00 p.m. – 09:00 p.m. Room TBS#213 (6) Monday, April 11, 2016, Time 06:00 p.m. – 09:00 p.m. Room TBS#213

(7) Monday, April 18, 2016, Time 06:00 p.m. – 09:00 p.m. Room TBS#213

(8) Monday, April 25, 2016, Time 06:00 p.m. – 09:00 p.m. Room TBS#213

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 Tuesday, May 10, 2016 during 06:00 p.m. – 09:00 p.m. 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.