Josť Fajardo


Asset Pricing

Objetives

The course explores the nature and role of financial markets and institutions in the allocation of resources. The course pays particular attention to the emergence of derivative markets, analyzing the conceptual bases of the new instruments, including their pricing and trading strategies, as well as how financial entities use them in risk management.

Course Outline

Financial market structure; Derivatives and their pricing; Risk management.

Slidesaula1a, aula1b, Theory1

            aula2a, aula2b, Theory2

            aula3

            aula4a, aula4b

            aula5a, aula5b

            aula6

            aula7aaula7b

Reading List:

- W. Ferson, E. Fama, Deutsche Bank

- Finnish

- Veronessi-Pastor

- Moreira

- RevFin

- Veronessi

- B. Vallee

Assignements:                      

Assignment 1 : 10.14, 11.12, 11.25, 12.23, 12.24, 13.19 and 13.24.(due Class 3: 04/25/2017)
Assignment 2:  15.18, 15.25, 15.29, 19.24, 19.25, 19.27 and 20.4,(due Class 6: 05/23/2017)                                    
Assignment 3 : 22.17, 22.18, 22.20, 23.17, 23.18, 23.20, 23.21 (due Class 8: 06/06/2017)

 

Bibliography

-Options, Futures and Other Derivatives
    John Hull, Pretince Hall (2014), 9th edt.

-Financial Economics: A Concise Introduction to Classical and Behavioral Finance. T. Hens and M. Rieger. Springer-Verlag, 2010.

Additional

-Asset Pricing,  J. Cochrane.  Princeton University Press, 2001.

-The Handbook of Hybrid Securities: Convertible Bonds, CoCo Bonds and Bail-In. Jan De SpiegeleerWim SchoutensCynthia Van Hulle. Wiley-Finance. 2014

-Finance and the Good Society. Robert Shiller. Princeton Press. 2013.
 
Grading
Assignment 1  10% , Assignment 2  15% , Assignment 3  20%  and Term paper     55%
 

 


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