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The present Lecture Notes in Financial Economics are based on my teaching notes for advanced undergraduate and graduate courses in ﬁnancial economics, macroeconomic dynamics, ﬁnancial econometrics and ﬁnancial engineering. Part I, “Foundations,” develops the fundamentals tools of analysis used in Part II and Part III. These tools span such disparate topics as classical portfolio selection, dynamic consumption- and production- based asset pricing, in both discrete and continuous-time, the intricacies underlying incomplete markets and some other market imperfections and, ﬁnally, econometric tools comprising maximum likelihood, methods of moments, and the relatively more modern simulation-based inference methods. Part II, “Asset pricing and reality,” is about identifying the main empirical facts in ﬁnance and the challenges they pose to ﬁnancial economists: from excess price volatility and countercyclical stock market volatility, to cross-sectional puzzles such as the value premium. This second part reviews the main models aiming to take these puzzles on board. Part III, “Applied asset pricing theory,” aims just to this: to use the main tools in Part I and cope with the main challenges occurring in actual capital markets, arising from option pricing and trading, interest rate modeling and credit risk and their associated derivatives. In a sense, Part II is about the big puzzles we face in fundamental research, while Part III is about how to live within our current and certainly unsatisfactory paradigms, so as to cope with demand for intellectual expertise.
These notes are still underground. The economic motivation and intuition are not always developed as deeply as they deserve, some derivations are inelegant, and sometimes, the English is a bit informal. Moreover, I still have to include material on asset pricing with asymmetric information, monetary models of asset prices, bubbles, asset prices implications of overlapping generations models, or ﬁnancial frictions. Finally, I need to include more extensive surveys for each topic I cover, especially in Part II. I plan to revise these notes to ﬁll these gaps. Meanwhile, any comments on this version are more than welcome.
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