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.
Financial market structure; Derivatives and their pricing; Risk management.
Slides: Class0, Class1, Modeling1, Allais & Ellsberg
Class2, MV Frontier, Tanget Portfolio,
Class3, CAPM extensions
Reading and Videos List:
- W. Ferson, Video, E. Fama, Deutsche Bank
- Nagel (for day 04/24/18)
- Brown & Huang (for day 05/08/18), MngSci
- Carl & DellaVigna (for day 05/15/18), Job Market Success
- Moreira (for day 05/22/2018)
- ML (for day 05/29/2018)
- Veronessi-Pastor (for day 06/05/2018)
-Financial Economics: A Concise Introduction to Classical and Behavioral Finance. T. Hens and M. Rieger. Springer-Verlag, 2010.