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.
Also we include recent topics of interest as the use of Machine Learning to study volatility measures and to identify asset pricing factors, the analysis of CoCo bond markets and the Crypto currencies markets.
Financial market structure; Derivatives and their pricing; Risk management. Hybrid Instuments and Cryptocurrencies
Readings and Class Participation (15%)
Three Homeworks (1rst(10%), 2nd (15%) and 3rd(20%))
Term paper (40%)
Reading and Videos List:
-Financial Economics: A Concise Introduction to Classical and Behavioral Finance. T. Hens and M. Rieger. Springer-Verlag, 2010.