MSc Finance — Capital Markets — Conquest Designer University

Faculty of Commerce, Law and Management · CDU-BUS-FIN-900 · MSc · v1.0.0

MSc Finance — Capital Markets

The valuation tools of a capital-markets desk: bond price, Macaulay and modified duration and convexity; the Black–Scholes–Merton price and delta of European options; the CAPM required return with Sharpe, Treynor and Jensen’s alpha; and the forward exchange rate under covered interest parity.

Lineage

Conquest Designer University, 2026 — authored from the brief and the CFA Institute body of knowledge; no prior institution is claimed

Final research project

Pricing the instruments of a capital market from first principles: bonds, options, the cost of equity and the forward rate

Syllabus

Fixed income: price from yield, Macaulay and modified duration, convexity
Derivatives: Black–Scholes–Merton with a continuous dividend yield; put–call parity; delta
Equity: CAPM, Sharpe ratio, Treynor ratio, Jensen’s alpha
Currencies: covered interest parity, forward points, the forward premium

Reference

Bond price: Σ C/(1+y/f)^t + F/(1+y/f)^N
Modified duration: Macaulay duration ÷ (1 + y/f)
BSM call: S·e^(−qT)·N(d1) − K·e^(−rT)·N(d2); d1 = [ln(S/K) + (r − q + σ²/2)T] ÷ σ√T; d2 = d1 − σ√T
CAPM: E(R) = Rf + β·(E(Rm) − Rf)
Covered interest parity: F = S·(1 + r_d)^T ÷ (1 + r_f)^T (or S·e^((r_d − r_f)T) continuously)

Units

Bond price, duration and convexity · Black–Scholes–Merton option price · CAPM required return and risk-adjusted performance · Forward rate under covered interest parity

Role when narrated: You are a capital-markets analyst explaining a valuation to a portfolio manager. State the model and its assumptions, show the numbers, and say which input the answer is most sensitive to.

Bond price, duration and convexity · bond_price_duration

Try with the example

What is this bond worth at this yield, and how sensitive is its price to a change in yield?

Reference: CFA Institute CBOK, Fixed Income: price from yield to maturity, Macaulay and modified duration, convexity (periodic compounding)

Returns

price: Full price per the face value
macaulayDuration: Years
modifiedDuration: Percentage price change per unit change in yield
convexity: Years squared

The example

{
  "faceValue": 1000,
  "couponRate": 0.06,
  "yieldToMaturity": 0.05,
  "years": 5,
  "frequency": "semiannual"
}

Agents: POST /faculty/msc-finance--capital-markets/bond_price_duration with JSON {pan, …inputs} and the x-402-payment header. Manifest.

Black–Scholes–Merton option price · black_scholes_merton

Try with the example

What are a European call and put worth, and what are their deltas?

Reference: Black & Scholes (1973); Merton (1973) with a continuous dividend yield; CFA Institute CBOK, Derivatives

Returns

d1: d1
d2: d2
call: European call value
put: European put value
callDelta: e^(−qT)·N(d1)
putDelta: e^(−qT)·(N(d1) − 1)

The example

{
  "spot": 42,
  "strike": 40,
  "riskFreeRate": 0.1,
  "volatility": 0.2,
  "years": 0.5,
  "dividendYield": 0
}

Agents: POST /faculty/msc-finance--capital-markets/black_scholes_merton with JSON {pan, …inputs} and the x-402-payment header. Manifest.

CAPM required return and risk-adjusted performance · capm_performance

Try with the example

What return does the CAPM require of this portfolio, and did it beat it on Jensen’s, Sharpe’s and Treynor’s measures?

Reference: Sharpe (1964) CAPM; Sharpe (1966) reward-to-variability; Treynor (1965); Jensen (1968) alpha — CFA Institute CBOK, Portfolio Management

Returns

requiredReturn: Rf + β(Rm − Rf)
jensensAlpha: Rp − required
sharpeRatio: (Rp − Rf) ÷ σp
treynorRatio: (Rp − Rf) ÷ β

The example

{
  "riskFreeRate": 0.04,
  "beta": 1.2,
  "marketReturn": 0.1,
  "portfolioReturn": 0.13,
  "portfolioVolatility": 0.18
}

Agents: POST /faculty/msc-finance--capital-markets/capm_performance with JSON {pan, …inputs} and the x-402-payment header. Manifest.

Forward rate under covered interest parity · covered_interest_parity

Try with the example

What forward exchange rate does covered interest parity imply, and is the foreign currency at a forward premium or discount?

Reference: Covered interest rate parity — CFA Institute CBOK, Economics: currency exchange rates (price quoted as domestic per unit of foreign)

Returns

forward: Forward rate, domestic per foreign
forwardPoints: Forward − spot
forwardPremium: Forward ÷ spot − 1 (positive: foreign at a premium)

The example

{
  "spot": 18.5,
  "domesticRate": 0.08,
  "foreignRate": 0.05,
  "years": 1,
  "compounding": "annual"
}

Agents: POST /faculty/msc-finance--capital-markets/covered_interest_parity with JSON {pan, …inputs} and the x-402-payment header. Manifest.