An introduction to Financial Economics


This is a course on financial economics that I teach second--year Masters and Ph.D. students at IGIDR, Bombay.

Books

There is no one textbook used for this class. Rather, there is a list that will be built up during the course of this class. These include:

  1. A useful core textbook is Investment science by David Luenberger.

The following are highly recommended general reading:

  1. The Economics of Financial Markets by Houthakker and Williamson (for market microstructure).
  2. A random walk down Wall Street by Burton G. Malkiel.
  3. Capital Ideas by Peter Bernstein.
  4. India's financial markets: an insider's guide to how the markets work by Ajay Shah, Susan Thomas, Michael Gorham

Course content

Introduction [Slideshow]

An introduction to firms [Slideshow]

Some basic tools in analytical finance [Slideshow]

Efficient Market Hypothesis [Slideshow]

Markets: institutions vs. outcomes [Slideshow]

Markets: microstructure [Slideshow]

Selecting an optimal portfolio: mean-variance theory [Slideshow]

Portfolio optimisation, the Markowitz approach [Slideshow]

Asset pricing, the Capital Asset Pricing Model [Slideshow]


Mechanics


Useful material


Useful links


Back up to Susan Thomas' teaching page


Susan Thomas,
IGIDR, Bombay
susant@igidr.ac.in