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Average Course Rating

The first part of the course will review in depth the main instruments in the various asset classes, as well as the founding results on investment decision, capital budgeting and project financing. The second part will analyze the theory of the firm: capital structure, dilution and share repurchase, dividend policy, Modigliani- Miller theorem and will lead to the contingent claim pricing of corporate debt and equity as in Merton (1974) and its extensions . The third part will extend the CAPM to the Arbitrage Pricing Theory of Ross (1976) and its theoretical and operational consequences. The fourth part will be dedicated to the stochastic modelling of the yield curve to price caps, floors and swaptions, and their use in the Asset Liability Management of a bank and insurance company. This course will not begin until mid-October.