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.

SlidesClass0, Class1, Modeling1, Allais & Ellsberg

            Class2, MV Frontier, Tanget Portfolio,

            Class3, CAPM extensions

            Class4

            Class5, Class5b

            Class6a, Class6b

            Class7, Volatility

            Class8

 

Reading and Videos List:

- W. Ferson, VideoE. 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)

Assignements:                      

Assignment 1 :  Problem set 1.(due Class 3- 04/24/18, exercises 6 and 7 due class 4)
Assignment 2:   Problem set 2 (due Class 6-05/22/2018)                                    
Assignment 3 :  Problem set 3 (due Class 9-06/19/2018)

 

Bibliography

-Options, Futures and Other Derivatives
    John Hull, Pretince Hall (2017), 10th 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, 2005.

-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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