Scheda programma d'esame

FINANCIAL ECONOMICS

GIULIO BOTTAZZI

Academic year2023/24

CourseECONOMICS

Code502PP

Credits9

PeriodSemester 1

LanguageEnglish

CourseECONOMICS

Code502PP

Credits9

PeriodSemester 1

LanguageEnglish

Programma non disponibile nella lingua selezionata

Learning outcomes

Knowledge

This course aims to provide a modern theoretical foundation to the most widespread notions and tools in financial economics, including present value theory, real interest rate, arbitrage pricing, portfolio management and mean-variance analysis. The students should become acquainted with the notion of arbitrage and equilibrium price in different market settings. They should be able to solve the problem of portfolio optimization and mean-variance analysis in rather general terms.

Assessment criteria of knowledge

The get the final grading students are required to pass a final written exam. At least one fake exam will be organized to test your level of preparation. Students get extra points for completing their homework during the course.

Prerequisites

The course requires a basic knowledge of linear algebra (linear space, linear map, basis, inversion, eigenvectors and eigensystems), calculus (differential analyses of function of many real variables and static optimization) and, to a lesser extent, probability theory. Some basic knowledge of the theory of choice under uncertainty (utility theory) and economic equilibrium are in general given for granted and only cursorily reviewed.

Teaching methods

Delivery: face to face.

Larning activities:

- attending lectures,
- individual study,
- assignments.

Attendance: advised.

Teaching methods:

- lectures,
- exercises and assignment correction.

Syllabus

General equilibrium, no arbitrage in riskless economies, real interest rate and the yield curve. Arbitrage in security markets, state prices, complete and incomplete markets, valuation functional and the fundamental theorem of finance. Choices under uncertainty, expected utility theory and risk aversion. Portfolio choices, optimal portfolio with multiple risky assets. General equilibrium under uncertainty. Pricing kernel and mean-variance analysis. OPTIONAL: behavioral finance, asset prices under ambiguity, evolutionary finance and the market selection hypothesis.

Bibliography

Textbooks:

- Principles of Financial Economics, S.F. LeRoy and J. Werner (2nd edition)
- Foundations of Financial Markets and Institutions, Fabozzi, Modigliani and Jones

Further references and Optional readings:

- Microeconomic Theory, A. Mas-Colell, M. D. Whinston, and J. R. Green
- Quantitative Financial Economics, K. Cuthbertson and D. Nitzsche
- Financial Economics, T. Hens and M. O. Rieger
- Ambiguity and Asset Markets, L. G. Epstein and M. Schneider, NBER paper;
- Options, Futures and Other Derivatives, J. C. Hull (7th ed.)
- The Ascent of Money: A Financial History of the World, Niall Ferguson
- Guide to the Financial Markets, The Economist

Additional web pages

Further material can be found here.

Check "Financial Economics" entries for the lecture timetable and locations in the calendar.

Updated: 20/09/2023 15:47

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