Descriptif
ECO 553 Financial Decisions under Risk 1
Jean-Marc Bourgeon
Course description:
Economic approach to intertemporal choice and choice under uncertainty (Jean-Marc Bourgeon)
This course is an introduction to the economics of uncertainty and financial markets. The first part of the course is devoted to the economic approach of intertemporal choice and choice under uncertainty. It introduces interest rates, preferences under uncertainty, measures of risk and optimal risk-sharing. The second part of the course introduces the financial markets, valuation by arbitrage and the CAPM (Capital Asset Pricing Model). An introduction to option pricing (in particular the continuous time model of Black, Scholes and Merton) is also given. The last class is devoted to the microstructure models of trading.
Program:
Introduction to Finance.
Term structure of interest rates. Determinants of interest rates.
Choice under uncertainty. Risk aversion, prudence, stochastic dominance.
Optimal risk-sharing. The mutuality principal
Financial markets and arbitrage valuation.
Mean variance utility and CAPM.
Introduction to option pricing
Introduction to microstructure.
This theoretical background will be complemented with field visits and interactions with professionals from the finance industry (Guillaume Hollard)
Textbooks:
Demange, Gabrielle, and Guy Laroque. "Finance and the Economics of Uncertainty." (2005).
Duffie, Darrell. Dynamic asset pricing theory. Princeton University Press, 2010.
Cochrane, John H. Asset Pricing,. Princeton university press, 2009.
Gollier, C. (2004). The economics of risk and time. MIT press.
Diplôme(s) concerné(s)
Parcours de rattachement
Format des notes
Numérique sur 20Littérale/grade réduitPour les étudiants du diplôme Diplôme d'ingénieur de l'Ecole polytechnique
Le rattrapage est autorisé- Crédits ECTS acquis : 5 ECTS
La note obtenue rentre dans le calcul de votre GPA.
Pour les étudiants du diplôme Economics, Data Analytics and Corporate Finance
Le rattrapage est autorisé- Crédits ECTS acquis : 4 ECTS
La note obtenue rentre dans le calcul de votre GPA.