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Graduate Level Courses

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1
Graduate level courses
Graduate Level
Courses
National Research University Higher School of Economics
Faculty of Economic Sciences
2
Graduate level courses
Special information
ACADEMIC INTEGRITY
The Higher School of Economics strictly adheres to the principle of academic integrity and
honesty. Accordingly, in this course there will be a zero‐tolerance policy toward academic
dishonesty. This includes, but is not limited to, cheating, plagiarism (including failure to properly cite sources), fabricating citations or information, tampering with other students’ work,
and presenting a part of or the entirety of another person’s work as your own. HSE uses an
automated plagiarism‐detection system to ensure the originality of students’ work. Students
who violate university rules on academic honesty will face disciplinary consequences, which,
depending on the severity of the offense, may include having points deducted on a specific
assignment, receiving a failing grade for the course, being expelled from the university, or
other measures specified in HSE’s Internal Regulations.
АCADEMIC CALENDAR:
Semesters
Fall (September – December)
Spring (January – June)
Modules
Fall (1 – 2)
Spring (3 – 4)
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Graduate level courses
Contents
FALL 2016
All Master Programs
Advanced Microeconomics ‐ Alla Fridman
Advanced Macroeconomics ‐ Andrei Dementiev
Advanced Econometrics ‐ Olga Demidova
Financial Markets and Institutions
Quantity Finance ‐ Boris Demeshev, Victor Lapshin
Applied Economics
Trade Policy ‐ Celik Levent
Financial Markets Regulation ‐ Anton Tabakh
Strategic Corporate Finance, Corporate Finance
Course Catalog for AY 2016‐2017
Research Track
Advanced Game Theory and Topics in Microeconomic Theory ‐ Celik Levent
Probability Theory and Mathematical Statistics ‐ Mark Kelbert
4
Graduate level courses
SPRING 2017
Applied Economics
Advanced Econometrics ‐ Olga Demidova
Economics of Transition and Emerging Markets ‐ Marek Dabrowski
Strategic Corporate Finance, Corporate Finance
Course Catalog for AY 2016‐2017
Financial markets and institutions
Banking Systems ‐ Andrei Vernikov
Research track
Advanced Microeconomics ‐ Alla Fridman, Leonid Polishchuk
Advanced Macroeconomics ‐ Kirill Sosunov
Political Economy ‐ Alexei Zakharov
Contract Theory and Informational Economics ‐ Anton Suvorov
Behavioral and Experimental Economics ‐ Anton Suvorov
Statistical Modelling and Actuarial Science
High dimensional statistics ‐ Quentin Paris
Life Insurance Mathematics ‐ Mark Kelbert
Non‐Life Insurance Mathematics ‐ Mark Kelbert
5
FALL
FALL2016
2016
Graduate level courses
6
Graduate level courses
ALL MASTER PROGRAMS
Advanced Microeconomics
Instructor: Alla Fridman, 96 hours, 1st and 2nd modules
The course is comprised of two parts: the first part (Fall term) serves as an introduction to advanced microeconomics and is primarily designed for those students that have the Bachelor’s
Degree in other field. This part examines how economic decisions are made by households
and firms, and how they interact to determine the quanties and prices of goods and the allocation of resources. It also investigates the microeconomic policy and the role of government
in allocating resources. The second part (Spring term) presents some formal techniques used
in economic research as well as critical perspectives and possible alternatives. Topics include
theory of the consumer and the firm, uncertainty, general equilibrium theory and welfare
economics, a formal treatment of game theory, public goods, externalities, asymmetric information and mechanism design.
Advanced Macroeconomics
Instructor: Andrei Dementiev, 96 hours, 1st and 2nd modules
This introductory course to Advanced Macroeconomics along with Econometrics and Advanced Microeconomics forms the core trinity of compulsory disciplines that provide a theoretical background for the master’s program in economics at the HSE Faculty of Economics.
The one‐semester course is taught in English in the 1st and 2nd modules to the first‐year
graduate students. The course focuses on selected topics which are central to modern macroeconomics, like the short‐run economic fluctuations, stabilization policies in the medium‐run,
long‐run economic growth, as well as political economy issues of macroeconomic policies.
Both basic and more advanced theoretical models and analytical techniques are widely used
in the course but are treated as tools for granting insights into important issues, not as ends in
themselves. Yet, this requires from students certain facility with linear algebra and some basic
game theory. The course also assumes students’ familiarity with introductory macroeconomics topics but this is not compulsory.
Advanced Econometrics
Instructor: Olga Demidova, 64 hours, 1st and 2nd modules
This is a year long course that is focused on the estimation, inference and identification of regression models. Particular attention is paid to the econometric theory, to the application of
econometrics to real‐world problems, and to the interpretation of the estimation results. The
first part of the course (Fall term) includes linear regressions and models with limited dependent data. Topics on Gauss‐Markov theorem, endogeneity, instrumental variables, maximum
likelihood estimation will be covered. The second part of the course (Spring term) is focuses on issues in system of equations; time series models; panel data models; nonparametric
and semiparametric models; Bayesian estimation. The course will include the use of STATA, a
7
Graduate level courses
standard software for econometric and statistical analysis.
FINANCIAL MARKETS AND INSTITUTIONS
Quantity Finance
Instructor: Boris Demeshev, Victor Lapshin, 60 hours, 1st and 2nd modules
Modern banks, investment companies and other financial institutions can’t be thought of
without quantitative analysis. The people involved, quantitative analysts (quants), are often
considered the ‘elite’ of financial analysts. This course provides an introduction to the exciting
world of pricing derivative instruments via solving stochastic equations and numerical procedures on a computer. You will learn the basics of stochastic processes in continuous time:
martingales, Ito’s lemma, stochastic differential equations and some other words, which are
used by quants in their everyday conversations. You will also learn how to find the price of a
derivative instrument numerically, using a computer, and why modern banks buy supercomputers. Most of the methods considered will be Monte‐Carlo methods, which is one of the
main modeling tools in derivative pricing. The theoretical part of the course will assume that
the student is knowledgeable in probability theory, calculus and basic financial instruments
(stocks, bonds, futures, options and swaps). Taking the ‘Derivatives II’ course prior to this one
is recommended, but not required. The computer part of the course will be using the Matlab
software and will assume either basic programming knowledge (a school‐level course will
suffice: you need to know, what are variables, loops and functions) or the readiness to acquire
it. This is not a ‘push‐this‐button‐to‐get‐the‐answer’ course. Be ready to spend several hours in
front of a computer each week (more if you are only learning programming at the same time).
APPLIED ECONOMICS
Trade Policy
Instructor: Celik Levent, 64 hours, 1st and 2nd module
The goal of the course is to provide students with an understanding of the key issues that
are important in trade policy and how international trade theory helps understand them. We
will study the causes and consequences of international trade, investigate why nations trade,
what they trade, and who gains from trade. We will then look at the motives for countries or
organizations to restrict or regulate international trade and study the effects of such trade
policies on economic welfare. By the end of this course, it is expected that the student will:
■ understand the key motives for international trade;
■ be familiar with the models used in international trade, from the classic ones to the latest
developments;
■ understand the key policy issues and the theory relevant to their analysis;
■ have developed the capacity to read and understand the journal literature in the area of
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Graduate level courses
international trade
We will cover topics such as:
■ Microeconomic foundations of trade theory;
■ Why do nations trade: Comparative advantage models, Increasing‐returns‐to‐scale models, and Imperfect competition models;
■ International trade and immigration;
■Outsourcing/offshoring;
■ Internayional trade policy: Tariffs, Quotas, Subsidies;
■ WTO: The prisoner’s dilemma nature of protectionism, and the rationale for multilateral
cooperation;
■ International trade agreements, trade creation and trade diversion;
■ International trade and environmental policy.
Financial Markets Regulation
Instructor: Anton Tabakh, 64 hours, 1st and 2nd module
The course covers the theories behind financial market regulations and their practical applications. We will study best global practices and regulatory frameworks to current problems
facing national and global markets and regulators. We will thoroughly review consumer protection for banking and insurance industries, retail financial products, concept of unified regulator and integration of regulators across national borders. Main areas to be covered:
■ History of financial markets organization and regulation
■ Modern models of regulation and self‐regulation
■ Regulatory failures and relevant prevention tools
■ Financial crises from regulatory standpoint
■ Consumer protection
■ Regulation across borders and market sectors
■ Financial Regulation of Russian Federation, legal and institutional framework
■ Banking sector, “Too big to fail” institution and Basel standards
STRATEGIC CORPORATE FINANCE, CORPORATE FINANCE
Course Catalog for AY 2016‐2017
9
Graduate level courses
RESEARCH TRACK
Advanced Game Theory and Topics in Microeconomic Theory
Instructor: Celik Levent, 64 hours, 1st and 2nd module
Topics:
A. Non‐cooperative game theory
I. Complete information
1. Normal Form
2. Extensive‐form representation
II. Incomplete information
1. Bayesian‐Nash equilibrium
2. Applications:
3. Perfect Bayesian equilibrium
4. Refinements of PBE
5. Applications to signaling and communication games
B. Cooperative game theory
I. Coalitional games
II. The core
III. Shapley value
IV. Matching problems
Probability Theory and Mathematical Statistics
Instructor: Mark Kelbert, 96 hours, 1st and 2nd module
This course provides a solid background in Probability Theory, Applied Stochastic Processes,
Theoretical Statistics as well as introduction into Actuarial Science and Information Theory on
the level required by Business Schools of the leading World Universities. Among main questions covered in the course there are the following: Markov Chains and Basic Markov Processes, Point Processes, Time Series, Stochastic Differential Equations, applications to Finance and
Insurance, Information theory and Coding.
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SPRING
SPRING2017
2017
Graduate level courses
11
Graduate level courses
APPLIED ECONOMICS
Advanced Econometrics
Instructor: Olga Demidova, 80 hours, 3rd and 4th modules
This is a year long course that is focused on the estimation, inference and identification of regression models. Particular attention is paid to the econometric theory, to the application of
econometrics to real‐world problems, and to the interpretation of the estimation results. The
first part of the course (Fall term) includes linear regressions and models with limited dependent data. Topics on Gauss‐Markov theorem, endogeneity, instrumental variables, maximum
likelihood estimation will be covered. The second part of the course (Spring term) is focuses on issues in system of equations; time series models; panel data models; nonparametric
and semiparametric models; Bayesian estimation. The course will include the use of STATA, a
standard software for econometric and statistical analysis.
Economics of Transition and Emerging Markets
Instructor: Marek Dabrowski, 40 hours, 3rd module
The purpose of this course is to offer Master students basic knowledge on economic problems and challenges faced by the group of transition and emerging‐market economies. The
first notion (transition economies) refers to the group of former centrally planned (command)
economies in Central, Eastern and South Eastern Europe and Central and East Asia which
started its transformation towards a market economy at the end of 1980s and early 1990s.
The second notion (emerging‐market economies) refers to a much larger group of middle‐income countries which have opened up to trade and financial flows in 1990s and 2000s. Apart
from transition economies it includes several countries of Asia, Middle East, Africa and Latin
America, some of them becoming recently major players in the global economy (like BRICS
countries).
STRATEGIC CORPORATE FINANCE, CORPORATE FINANCE
Course Catalog for AY 2016‐2017
12
Graduate level courses
FINANCIAL MARKETS AND INSTITUTIONS
Banking Systems
Instructor: Andrei Vernikov, 40 hours, 3rd module
Pre­requisites : Good command of English language. The Course is designed for Master’s students with a focus on those who completed Bachelor program in subjects unrelated to banking and finance. Banking Systems is a synthetic interdisciplinary course. It aims to provide
students with basic knowledge about common and special features of banking industry in
the world’s leading countries including Russia, as well as developing comparative analytical
skills. The course exposes students to banking and financial terminology in English thus improving their competitiveness in the job market in the financial industry or any other entity
that recurs to banking services. Lecture attendance is critical to successfully pass the exam.
RESEARCH TRACK
Advanced Microeconomics
Instructor: Alla Fridman, Leonid Polishchuk, 120 hours, 3rd and 4th modules
The course is comprised of two parts: the first part (Fall term) serves as an introduction to advanced microeconomics and is primarily designed for those students that have the Bachelors
Degree in other field. This part examines how economic decisions are made by households
and firms, and how they interact to determine the quantities and prices of goods and the allocation of resources. It also investigates the microeconomic policy and the role of government
in allocating resources. The second part (Spring term) presents some formal techniques used
in economic research as well a critical perspectives and possible alternatives. Topics include
theory of the consumer and the firm, uncertainty, general equilibrium theory and welfare
economics, a formal treatment of game theory, public goods, externalities, asymmetric information and mechanism design.
Advanced Macroeconomics
Instructor: Kirill Sosunov, 120 hours, 3rd and 4th module
This course is an introduction into modern macroeconomic theory. Two major part of it is
growth theory and business cycles theory. We study Slow and Ramsey models with infinitely‐
lived agents and overlapping generations model. WE also review several endogenous growth
models. In business cycles theory we do partial equilibrium analysis of consumption, investment and unemployment and then study real business cycles model and several new Keynesian models.
Political Economy
Instructor: Alexei Zakharov, 40 hours, 3rd module
This course aims to acquaint students with the main principles and current issues in political
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Graduate level courses
economy, a science that investigates the interrelations between the political and economic
behavior of individuals, states, and organizations, as well as how they are affected by political
and informal institutions, societal norms, social capital and external factors, including geographic ones. Particular attention will be paid to the influence of political institutions, behavioral norms and social capital on inequality and economic development; political behavior
and how it affects economic policy and the evolution of political institutions; and the influence of economic and demographic factors on the formation of culture and social capital.
These topics will be explored using a broad range of modern scientific approaches, including
game theory and empirical/experimental methods.
Contract Theory and Informational Economics
Instructor: Anton Suvorov, 40 hours, 3rd module
How do managers create incentives for their employees? How, in turn, stockholders create
incentives for the managers themselves? What is the difference between complete and incomplete contracts? How do relational contracts work? Why top managers get impressive
compensation packages – is it efficient or is there abuse? During the course we will address
these and other questions. The course is relatively short, so we will not have time to cover
all topics comprehensively. However, we will try to explore the core topics thoroughly, and
briefly survey extensions, applications, and new directions in this fascinating subject. Preliminary list of topics: Adverse selection and moral hazard in principal‐agent framework. Dynamic
aspects, renegotiation. Multitasking, team productions. Implicit contracts (career concerns).
Relational contracts. Incomplete contracts and property rights. Delegation.
Behavioral and Experimental Economics
Instructor: Anton Suvorov, 40 hours, 3rd module
The neoclassical paradigm, dealing with rational economic agents who have stable preferences and always make optimal decisions, is a dominant approach in mainstream economics.
‘’Behavioral Economics’’ (or ‘’Psychology and Economics’’) is a new field, not an easy one to
define. What unifies the different research programs associated with it is an attempt to bring
psychological realism to economic analysis. Some papers document systematic departures
of the actual human behavior from the one predicted by mainstream economic models. Others incorporate more realistic, psychologically grounded assumptions into economic models
to investigate their implications. Yet others are interested in explaining seemingly irrational
behavior using tools of economics and game theory with some minor departures from conventional assumptions. The course is somewhat eclectic. We shall both discuss theoretical
models and look at many empirical (mostly, experimental) results. There is no textbook, all
references will be to recent papers published in the leading international journals or yet unpublished. For mastering the course one needs to have sound knowledge of basic microeconomics, game theory and econometrics.
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Graduate level courses
STATISTICAL MODELLING AND ACTUARIAL SCIENCE
High dimensional statistics
Instructor: Quentin Paris, 40 hours, 3rd module
Ever greater computing technologies have given rise to an exponentially growing volume of
data available for statistical applications. Today, massive data sets (with potentially thousands
of variables) play an important role in many branches of modern human activity including
Economics, Finance, Engineering and Genetics for instance. However, due to there complexity, analyzing such data sets has become a real challenge for modern data analysis and has
required the development of new statistical strategies. In this course, we will focus on the
problem of prediction in the context of high‐dimensional data. More precisely, we will study
the context in which the number n of available data points is smaller than the dimension d
of each data point. In this framework, the class will first focus on studying the performance
of linear predictors computed through the ridge regression or lasso procedures. Then, some
topics from model selection will be studied as well as some dimension reduction techniques
such as Filtering, Principal Components Analysis and the Random Projections method.
Life Insurance Mathematics
Instructor: Mark Kelbert, 40 hours, 3rd module
This course syllabus follows the educational standards of the Institute of Actuaries for subjects 102 Financial Mathematics, 104 Survival Models and 105 Contingencies. Core Technical
. It is designed to give the postgraduate students an introduction to the financial and insurance worlds in which the practising actuary works. Students will cover the basic concepts of
risk management models for mortality and sickness, and for discounted cash flows and their
applications to Life Insurance contracts.
Non‐Life Insurance Mathematics
Instructor: Mark Kelbert, 40 hours, 4th module
This course syllabus follows the educational standards of the Institute of Actuaries for subjects 102 Financial Mathematics, 105 Contingencies. Core Technical, 106 Statistical Methods.
Core Technical, 302 General Insurance . It is designed to give the postgraduate students an
introduction to the financial and insurance worlds in which the practising actuary works. Students will cover the basic concepts of risk management models, discounted cash flows and
their applications to Non‐Life Insurance contracts.
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Graduate level courses
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