Instructor: Frank Milne
Office: Mackintosh-Corry A517
Phone: 613-533-6494
Office Hours: as described on office door.

Reading List (2022)

Errata

Exercises


Mas Collel Chapter 6 Microtheory

Global Derivative Debacles Ch. 16

Alice’s Adventures in Factorland

Global Derivative Debacl_001

Humor

• https://www.youtube.com/watch?v=mzJmTCYmo9g
• https://www.youtube.com/watch?v=9z70BKwfSUA

Academic References

• Convergence from Discrete-to-Continuous Time Contingent Claims Prices
• Asset Pricing with Liquidity Risk
• Limits of Arbitrage: the State of the Theory
• Financial Theory and Corporate Policy Ch 6 Market Equilibrium CAPM and APT
• Information and Securities:A Note on Pareto Dominance and the Second Best
• Capital Asset Pricing with Proportional Transaction Costs
• Valuation of Complex Securities and Options with Preference Restrictions
• Jarrow & Turnbull Derivatives 2000 Ch 4 Asset Price Dynamics
• Jarrow & Turnbull Ch 5 The Binomial Pricing Model
• Derivative Securities Jarrow & Turnbull Ch. 18 Credit Risk
• Jarrow & Turnbull Derivatives 2000 Ch. 15 Interest Rate Derivatives
• Acharya, Pedersen CAPM and Liquidity Risk 2005
• The firm's objective function as a collective choice problem
• Choice over Asset Economies: Default Risk and Corporate Leverage
• Bingham and Kiesel Ch. 3 & 4
• The Efficient Market Hypothesis and Its Critics
• From Efficient Markets Theory to Behavioral Finance
• Speculative Asset Prices
• Efficient-market hypothesis
• Pedersen, When Everyone Runs for the Exits, 2009