Financial Economics

This course (syllabus) has been offered at Collegio Carlo Alberto as an elective from the second-year sequence for the Vilfredo Pareto Doctoral Program in Economics of the University of Turin, and as part of the doctoral program of the Department of Banking and Financial Management of the University of Piraeus. It is an introduction to the modern theory of asset pricing from the perspective of economic analysis. Its main focus is on investigating how the lack of arbitrage opportunities leads to equilibrium asset-pricing through "state prices," positive discount factors such that the price of any security is its appropriately-discounted expected payoff. The first part of the course examines static economies while the second extends into a multi-periof framework. Both parts are restricted to discrete time and symmetric and complete information.

Static Asset-Pricing

1. Mean-Variance Analysis

2. No Arbitrage

3. Individual Optimality

4. Equilibrium

5. Derivatives

Dynamic Asset-Pricing

1. No Arbitrage

2. Individual Optimality

3. Equilibrium

4. Derivatives