Financial Economy

1. Financial Economy

Alexander Didenko
[email protected]
en.linkedin.com/cocatebe

2. Course Logic

Stylized Facts &
Random Walks
Theory
Birth of Modern
Portfolio Theory
CAPM, APT, SDF
Models for asset
returns
Behavioral
Finance, Rational
Bubbles and
Learning
Derivatives
Pricing
Financial
Economics
Market Efficiency
and Stock
Predictability
Equity Premium
Puzzle
Extreme Value
Theory
Models for
Volatility

3. Black and Scholes

4. Merton

5. What is a futures/forward?

Months
Underlying
Financial
Commodity

6. What is an option?

Strike
Put
Call
American
European

7. The price of an option

Time
Volatility
Price
Strike

8. Ways to price an option

• Binomial tree
• Black-Scholes
• Monte-Carlo