- Docente: Tito Pietra
- Crediti formativi: 6
- SSD: SECS-P/01
- Lingua di insegnamento: Inglese
- Modalità didattica: Lezioni in presenza (totalmente o parzialmente)
- Campus: Bologna
- Corso: Laurea Magistrale in Quantitative finance (cod. 8854)
Conoscenze e abilità da conseguire
At the end of the course knows the economic relationships and decision making in financial markets, choices about funding and risk transfer, both with respect to the kinds of financial products involved, and the choice of the market, such as issuance of equity and bonds to the general public rather than through financial intermediaries. Particular focus is given to the role played in these dynamics by incomplete information.
Contenuti
1. Overview. 2. Intertemporal choice under certainty. 3. Choice under uncertainty and optimal portfolios. 4. Risk premia, CAPM, A-D Pricing 5. Arbitrage pricing 6. APT 7. Asymmetric information.
The analysis is always developed in a discrete setting, so that the mathematical prerequisites are just basic notions of probability theory, multivariate calculus and linear algebra. However, knowledge of theory and applications of these topics at the master level is necessary to attend the class successfully. Knowledge of the fundamentals of microeconomic theory are also assumed.Testi/Bibliografia
Danthine, J.P., and J. Donaldson, Intermediate financial theory, third edition, Elsevier, N.Y., 2014.
Some additional material (slides, problem sets, past exam) is at Alma Mater Digital Library. To access it, you must enroll in the "lista di distribuzione", whatever it is. The pwd is unibolmqf.
Metodi didattici
Teacher's lectures. Problem sets.
Modalità di verifica e valutazione dell'apprendimento
The final grade is based on a 3 hours written exam. However, I preserve my right to supplement the written exam with an oral exam, in special circumstances. The exam aims to verify the student's understanding of the key analytical results and tools discussed in class. This can be obtained requiring him/her to apply these tools to simple computational problems, to explain properly the logic and the proofs of some of these results, and to apply their basic logic to novel economic problems. Positive grades will be registered, i.e. each student will be automatically registered with the first passing grade he/she gets. Students have a ‘walk-away option': during any exams, you can walk away at any time, even at the very last moment. If you walk away, your paper will not be graded.
Orario di ricevimento
Consulta il sito web di Tito Pietra