Economics 870
Instructor: Frank Milne
Office: Mackintosh-Corry A517
Phone: 613-533-6494
Office Hours: as described on office door.
Reading List (2022)
Errata
Exercises
Mas Collel Chapter 6 Microtheory
Global Derivative Debacles Ch. 16
Alice’s Adventures in Factorland
Global Derivative Debacl_001
Humor
Academic References
- Convergence from Discrete-to-Continuous Time Contingent Claims Prices
- Asset Pricing with Liquidity Risk
- Limits of Arbitrage: the State of the Theory
- Financial Theory and Corporate Policy Ch 6 Market Equilibrium CAPM and APT
- Information and Securities:A Note on Pareto Dominance and the Second Best
- Capital Asset Pricing with Proportional Transaction Costs
- Valuation of Complex Securities and Options with Preference Restrictions
- Jarrow & Turnbull Derivatives 2000 Ch 4 Asset Price Dynamics
- Jarrow & Turnbull Ch 5 The Binomial Pricing Model
- Derivative Securities Jarrow & Turnbull Ch. 18 Credit Risk
- Jarrow & Turnbull Derivatives 2000 Ch. 15 Interest Rate Derivatives
- Acharya, Pedersen CAPM and Liquidity Risk 2005
- The firm's objective function as a collective choice problem
- Choice over Asset Economies: Default Risk and Corporate Leverage
- Bingham and Kiesel Ch. 3 & 4
- The Efficient Market Hypothesis and Its Critics
- From Efficient Markets Theory to Behavioral Finance
- Speculative Asset Prices
- Efficient-market hypothesis
- Pedersen, When Everyone Runs for the Exits, 2009
