Prof. Filippo Massari

Argomenti del programma: At the end of the course, the student can use, derive, and understand the logic of rational decision theory (e.g., Expected Utility, Bayes' rule) and the main insight from Gambling Theory. Students will be able to understand the implications of the law of large numbers applied to repeated investment decisions in non-ergodic systems such as the stock market.

Argomenti del programma: First, the course introduces the students to the problem of managing a portfolio. - the mean-variance portfolio choice, - CAPM, - APT, Fama-French models. Second, the course introduces the students to the main models and techniques that are used to analyze fixed income securities.

Argomenti del programma: First, the course introduces the students to the problem of managing a portfolio. - the mean-variance portfolio choice, - CAPM, - APT, Fama-French models. Second, the course introduces the students to the main models and techniques that are used to analyze fixed income securities.

Argomenti del programma: Week 1: Introduction and Mechanics ofFutures Markets; Chapters 1 and 2 Week 2: Hedging Strategies Using Futures; Chapter 3 Week 3: Interest Rates; Chapter 4 Week 4: Determination of Forward and Futures Prices; Chapter 5 Week 5: Interest Rate Futures; Chapter 6 Week 6: Swaps; Chapter 7 Week 7: Securitization, the Credit Crisis and XVAs; Chapters 8 and 9 Week 8: Mechanics of Option Markets and Properties of Options;…