Antonio Mele – Lecture Notes in Financial Economics

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Antonio Mele – Lecture Notes in Financial Economics

The current Lecture Notes in Financial Economics are based mostly on my instructing notes for superior undergraduate and graduate programs in financial economics, macroeconomic dynamics, financial econometrics and financial engineering. Part I, “Foundations,” develops the basics instruments of research used in Part II and Part III. These instruments span such disparate matters as classical portfolio choice, dynamic consumption- and production- based mostly asset pricing, in each discrete and continuous-time, the intricacies underlying incomplete markets and another market imperfections and, finally, econometric instruments comprising most probability, strategies of moments, and the comparatively extra trendy simulation-based inference strategies. Part II, “Asset pricing and reality,” is about figuring out the primary empirical info in finance and the challenges they pose to financial economists: from extra worth volatility and countercyclical inventory market volatility, to cross-sectional puzzles equivalent to the worth premium. This second half critiques the primary fashions aiming to take these puzzles on board. Part III, “Applied asset pricing theory,” goals simply to this: to make use of the primary instruments in Part I and deal with the primary challenges occurring in precise capital markets, arising from possibility pricing and buying and selling, rate of interest modeling and credit score danger and their related derivatives. In a way, Part II is in regards to the large puzzles we face in elementary analysis, whereas Part III is about how you can dwell inside our present and positively unsatisfactory paradigms, in order to deal with demand for mental experience.

These notes are nonetheless underground. The financial motivation and instinct should not at all times developed as deeply as they deserve, some derivations are inelegant, and typically, the English is a bit casual. Moreover, I nonetheless have to incorporate materials on asset pricing with uneven data, financial fashions of asset costs, bubbles, asset costs implications of overlapping generations fashions, or financial frictions. Finally, I would like to incorporate extra intensive surveys for every matter I cowl, particularly in Part II. I plan to revise these notes to fill these gaps. Meanwhile, any feedback on this model are greater than welcome.