Microeconomia y finanzas

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Introduction to Financial Economics September 2004

Prof. Abhay Abhyankar, Durham Business School, University of Durham

Lecture Timings

11/09/04 (Saturday): 9-11 a.m., 11.30-12.30 p.m.and 2.30-4.30 p.m.

12/09/04 (Sunday): 9-11 a.m., 11.30-12.30 p.m. and 2.30-4.30 p.m.

13/09/04 (Monday): 9-11 a.m., 11.30-1.30 p.m.

Course Objectives

This course is intended to introducestudents to some basic concepts in financial economics and to establish its roots in micro and macroeconomics and general equilibrium theory. It will be assumed that students are conversant in basicmicroeconomic theory and know some calculus and matrix algebra.

Main Textbook

Microfoundations of Financial Economics: An Introduction to General Equilibrium Asset Pricing, Lengwiler, Yvan,Princeton University Press, 2004, (ISBN: 0-691-11315-7)

(Author's site at: http://www.wwz.unibas.ch/witheo/yvan/book/)

Mathematics Background Desirable: Simon and Blume, 1994, Mathematics forEconomists, WW Norton is the level required.

Lectures

We will try and cover the following topics:

Introduction and Contingent Claim Economies
Asset Economies
Decision making under UncertaintyStatic Finance Economies
Dynamic Finance Economies
Empirical Issues (time permitting)

Course Assessment:

Assessment for this course will be based on a “Referee Report” to be submitted by a groupof two students. Each group will be allocated one of the papers in the attached list. Each group will write a “Referee Report” (less than 1000 words) that will be graded. Guidelines for writingthis Report are attached.

Tentative List of Papers for Referee Reports

We have covered a large ground in a short period in this course. There are many potentially important papers that we couldnow study further. However in order to have a common theme for all the participants we will focus on important empirical and theoretical contributions to the idea of risk sharing-at the level of the...
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