Curs 2010-2011
Llicenciatura en Economia
Financial Economics II
Tema 1. Introduction
1.1. Elements of probability and statistics.
Tema 2. Institutional Aspects
2.1. Market Microstructure.
2.2. The Futures Market.
2.3. The market for options.
2.4. O.T.C. Markets.
Tema 3. Arbitrage Valuation
3.1. The No-Arbitrage Condition.
3.2. Pricing Futures.
3.3. European call options: discrete time.
3.3.1. The Black-Scholes binomial tree.
3.3.2. Option Pricing under risk neutrality.
3.4. The put-call parity.
3.5. Pricing European call options: continuos time.
3.5.1. Black-Scholes: stochastic calculus.
3.5.2. Pricing.
Tema 4. Risk hedging
4.1. The hedging ratio.
4.2. Hedging strategies.
Bibliografia
BREALEY, R.; MYERS, S. Principles of Corporate Finance. 5a. ed. Nova York: McGraw Hill.
HULL, J. Introducción a los mercados de futuros y opciones. 4a. ed. Prentice Hall.
HULL, J. Option, Futures, and Other Derivatives. 5a. ed. Upper Saddle River: Prentice Hall.
MARÍN, J.; RUBIO, G. Economía financiera. Barcelona: Antoni Bosch, 2001.
Bibliografia complementària
COPELAND, T.; WESTON, F. Financial Theory and Corporate Policy. Massachusetts: Addison-Wesley, 1988.
GROSSMAN, S.; STIGLITZ, J. "On the Impossibility of Informationally Efficient Markets". American Economic Review. 1980. Pàg. 393-408.
HUANG, C.; LITZENBERGER, R. Foundations for Financial Economics. Englewood Cliffs: Pentice-Hall, 1988.
KYLE, A. "Continuous Auctions and Insider Trading". Econometrica. 1985. Pàg. 1.315-1.335.
O'HARA, M. Market Microstructure Theory. Cambridge, Mass.: Blackwell Publishers, 1995.