Foundations of Financial Markets, Summer 2007

Administrative details:

Instructor: André de Souza
Office: KMEC 9-175
Phone: 212-998-0316
E-mail: adesouza@stern.nyu.edu
Office hours: Tuesdays/ Thursdays 3 - 4 pm, and Fridays 11 - noon KMEC 9-175.
Extra office hours before the final: Wednesday June 20, 9:30-11:30 am, and 12:30-2:30 pm.

Announcements:

Please fill in your CFE! See here for details.

See older announcements.

Suggested problems:

RWJ Chapter 4: 1, 6, 7, 11, 12, 9, 17, 21, 22.
Solutions. Please email me if you find any mistakes.
BKM Chapter 6: 1, 12, 15, 17.
BKM Chapter 7: 1, 2, 3, 8-14, 16, 18, 20.

Post-Midterm

Problems on arbitrage with solutions.
BKM Chapter 12: 1, 2, 3, 10, 11, 13, 17
BKM Chapter 9: 2, 3, 4, 9, 10, 11, 14, 26.
BKM Chapter 10: 1, 2, 3, 5, 7, 24, 30.
BKM Chapter 14: 1, 2, 4, 5, 6, 7. NB: 7(c) requires the idea of the put-call parity.
BKM Chapter 15: 1, 2, 3, 5, 6, 7, 12, 13, 14, 26, 28, 29, 30, 31

Exams:

Sample Midterm.
Midterm (Form A).
Solutions (Form A).
Midterm (Form B).
Solutions (Form B).
The problems in Forms A and B are identical, they've just been moved around.

Sample final.
Solutions to sample final.

Assignments due:

Project due June 21. Please turn in a hard copy before your exam. No late submissions will be accepted.

Project:

Project handout. The project is due June 21, but do not wait until June to get started. You can work in groups of two, but not more.
The S&P500 data is available. There are two columns: the date and the return. The return is the holding period return for the month given in the date column.
Please note that the HPR for, say, 1 Dec 2005, is the return from holding the stocks in the S&P500 from 30 Nov 2005 to 31 Dec 2005.
Tutorial from a previous year's class, on computing means, variances and covariances in Excel.

Materials:

Syllabus. This is a modified version of the one put up on May 2. In particular, the readings list has been modified, and 5% of the grade will now be based on class participation.
List of handouts (with access to PDF documents)

Previous homework:

Problem Set One and Solutions : Was due Tuesday May 22. Please note that problem # 5 is optional: you will not be penalized if you do not answer it.
Problem Set Two and Solutions: Was due Tuesday May 29.
Problem Set Three and Solutions: Was due Tuesday June 5.
Problem Set Four and Solutions: Was due Tuesday June 12.
Problem Set Five and Solutions : Was due Tuesday June 19.
Project preliminary report: was due midnight, Saturday June 9, by email. Send me an excel sheet, with six columns: date, return on each mutual fund, return on the S&P, and T-bill return. If you're working in a pair, the two of you only need to send me one sheet, but please make sure it has both your names on it.
It would be a great help if you could name your file something like AndredeSouza.xls, where you replace "AndredeSouza" with your own name (or your own and your partner's names).

Class Presentations:

Class 1: Overview
Class 1: Financial Instruments/Financial Markets
Class 2: Principles of Security Valuation
Class 3: Risk and Return
Class 4: Diversification
Class 5: CAPM
Class 6: Review of CAPM, EMH, and Performance Evaluation
Class 6: Midterm Review
Class 7: Arbitrage
Class 8: Equity
Class 9: Fixed Income
Class 10: Options
Class 11: Options (concluded) and Final Review

Other material:

Introduction

Up one level

Last modified Tuesday June 18 2007 2241 Eastern Time.