- Docente: Tito Pietra
- Credits: 6
- SSD: SECS-P/01
- Language: English
- Teaching Mode: Traditional lectures
- Campus: Bologna
- Corso: Second cycle degree programme (LM) in Quantitative Finance (cod. 8409)
Learning outcomes
The aim of the class is to introduce the students to the basic theory of competitive financial markets. It starts introducing the basic concept of modern finance, i.e., the absence of arbitrage opportunities, and its implications for asset pricing. Building on this, it discusses choice under uncertainty and risk aversion, the basic portfolio choice model and models of equilibrium prices and allocations, including the canonical mean – variance model.
The analysis is always developed in a discrete setting, so that the mathematical prerequisites are just basic notions of probability, multivariate calculus and linear algebra.
Course contents
1 Introduction to equilibrium and arbitrage
2 Introduction to valuation3 Expected utility and risk
4 Optimal portfolio
5 Equilibrium prices and allocations
6 Mean-Variance models
7 Multiperiod securities markets
Readings/Bibliography
LeRoy, S., and J. Werner, Principles of Financial Economics, Cambridge University Press, 2001
More advanced treatments of the same material can be found in
Duffie, D., Security Markets. Stochastic Models, Academic Press, 1988.
Skiadas, C., Asset Pricing Theory, Princeton University Press, 2009.
Teaching methods
Lectures
Links to further information
http://www2.dse.unibo.it/pietra/
Office hours
See the website of Tito Pietra