Composante
École d'économie de la Sorbonne (EES)
Période de l'année
Automne
Liste des enseignements
Asset Pricing
Niveau d'étude
BAC +5
Composante
École d'économie de la Sorbonne (EES)
Volume horaire
18h
Période de l'année
Automne
Summary: This course focuses on the traditional models that are currently adopted to specify the fair prices of financial assets under no arbitrage condition.
The range of assets is from the single stock or bond to complex derivatives. Different frameworks are examined depending on the characterisation of time and/or uncertainty. The question of pricing crypto-assets is also addressed.
Professor : Catherine Bruneau (Professor of Economics - University Paris 1 Panthéon-Sorbonne)
Student assessment: Final exam (50%) + numerical implementation related to one of the topics of the course (50%)
Financial market microstructure
Niveau d'étude
BAC +5
Composante
École d'économie de la Sorbonne (EES)
Volume horaire
18h
Période de l'année
Automne
Summary: This research seminar explores financial market microstructure with a focus on the impact of Information and Communication Technologies. Its main objectives:
- To describe in detail the institutional and operational framework of the financial markets.
- To understand the new trends in financial markets (automation, high frequency trading).
- To give an overview of the academic literature in microstructure.
- To discuss the concept of financial market efficiency.
- To study the dynamics of stock prices.
- To examine the various investors strategies.
- To explain market manipulation, insider trading and frauds.
- To introduce the basic elements of behavioural finance and experimental economics.
Professor: Gunther Capelle-Blancard (Professor of Economics - University Paris 1 Panthéon-Sorbonne)
Student assessment: Writing a research paper (a survey)