Financial Economics and Risk Economics

Recommended Prerequisites

Economics of Money and Finance and Statistics.  

Teaching Methods

Theoretical-practical lectures based on expositive and interactive methods and through the use of audiovisual techniques. In these lectures students also carry out individual practical works and group discussion of problems in a real world framework. The theoretical-practical lectures are complemented with office hours for individual attendance.

Learning Outcomes

The aims are that students acquire competencies in (1) asset pricing models, (2) efficient portfolios construction and, (3) financial risk management with and without financial derivatives.

Work Placement(s)

No

Syllabus

1. Principles of financial decision

2. The mean variance portfolio theory

3. Models of equilibrium in the capital markets

4. Efficient markets

5. Interest rate theory and bond pricing models

6. Interest rate risk and the management of bond portfolios

7. Financial futures

8. Negotiable financial options.  

Head Lecturer(s)

José Alberto Soares da Fonseca

Assessment Methods

Assessment
Periodic or by final exam as given in the course information: 100.0%

Bibliography

BIANCONI, Marcelo - Financial economics, risk and information. 2nd ed.. Singapore : World Scientific Publishing, 2012.

Edwin J. Elton [et al.]MODERN portfolio theory and investment analysis.. 8th ed.. Hoboken : John Wiley & Sons, 2011.

FONSECA, José Alberto Soares da - Economia monetária e financeira. 2ª ed.. Coimbra : Imprensa da Universidade de Coimbra, 2015.

FONSECA, José Alberto Soares da — Obrigações : métodos de avaliação e de gestão do risco de taxa de juro. Porto : Associação da Bolsa de Derivados do Porto, 1999.

JONES, Chris - Financial economics. London : Routledge, 2008.

LIM, KIAN G. – Financial Valuation and Econometrics, Ed. World Scientific, 2^nd ed. 2015