One lecture session per week. Problem sets are due one week after the sessions they cover; see Assignments and Exams.
| Ses # | Topic | Main output |
|---|
| Part I · Risk, return and asset pricing |
| 1 | Returns, Risk, and the Foundations of Asset Pricing | Return calculations and SDF interpretation |
| 2 | Risk, Probability, and Expected Utility | Certainty-equivalent analysis |
| 3 | Mean-Variance Portfolio Theory and the Efficient Frontier | GMV and efficient-frontier construction |
| 4 | CAPM, Beta, and Empirical Factor Models | Beta and factor regression |
| 5 | Arbitrage Pricing, Stochastic Discount Factors, and No-Arbitrage | No-arbitrage pricing derivation |
| Part II · Fixed income and derivatives |
| 6 | Fixed-Income Securities, Bond Pricing, and Yield Curves | Bond and spot-curve valuation |
| 7 | Duration, Convexity, Immunization, and Term Structure | Duration-convexity risk report |
| 8 | Forwards, Futures, Options, and Swaps | Binomial option valuation and hedging |
| Part III · Corporate finance and markets |
| 9 | Corporate Finance: Capital Budgeting and Project Valuation | NPV/IRR project case |
| 10 | Capital Structure, Leverage, and Payout Policy | Leverage valuation memo |
| 11 | Market Efficiency, Information, Governance, and Event Studies | Event-study design |
| Part IV · Banking and risk |
| 12 | Banking, Financial Intermediation, and Systemic Risk | Bank balance-sheet stress exercise |
| 13 | Financial Risk Management: VaR, Expected Shortfall, and Stress Testing | VaR/ES backtesting |
| Part V · Behavioral and empirical finance |
| 14 | Behavioral Finance: Beliefs, Preferences, and Market Outcomes | Behavioral mechanism and testable prediction |
| 15 | Empirical Finance and Financial Econometrics | Reproducible empirical project |