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Economics 870

Instructor: Frank Milne
Office: Mackintosh-Corry A517
Phone: 613-533-6494
Office Hours: as described on office door.

Reading List (2019)

Errata

Exercises

Excel Financial Models

Mas Collel Chapter 6 Microtheory

Global Derivative Debacles Ch. 16

Humor

  • https://www.youtube.com/watch?v=mzJmTCYmo9g
  • https://www.youtube.com/watch?v=9z70BKwfSUA


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