The course aim at introducing the classical models for the analysis of financial markets. The objective of the course is to provide both a theoretical framework to study financial markets, and the tools to apply models to actual market data.
Prerequisiti
- Basic linear algebra - Basic statistics - Linear regression - Expected utility - Unconstrained and constrained optimization (Lagrange problem) - General equilibrium theory
Metodi didattici
Classroom lectures Homework data analysis
Verifica Apprendimento
Written exam
Testi
- E. Barucci, Financial Markets Theory, Springer - Z. Bodie, A. Kane, A. J. Marcus, Investments, 9th Edition, McGraw-Hill - E. J. Elton, M. J. Gruber, W. N. Goetzmann, S. J. Brown. Modern portfolio theory and investment analysis. John Wiley & Sons - C. Huang, R. H. Litzemberger, Foundations for Financial Economics, North-Holland - G. M. Constantinides, A. G. Malliaris (1995). Portfolio theory. Handbooks in operations research and management science, 9, 1-30. - Dai, Singleton, (2000). Specification analysis of affine term structure models. The journal of finance, 55(5), 1943-1978. - Wilmott (2013). Paul Wilmott on quantitative finance. John Wiley & Sons.
Contenuti
Market models - The CAPM: assumptions - Derivation of the CAPM - The CML and SML - Risk decomposition - Risk premium and risk aversion - Zero-beta CAPM - Empirical test of the CAPM - Multiple risk sources: the APT model - Market efficiency
Term structure - Term structure of interest rates - Short rate models (Vasicek, CIR) - Forward rate rate models (HJM approach) - Multifactor affine models