Jan Toporowski

Schedule of Classes
(Recommended chapters from sources are given in brackets)

I. Theoretical Foundations

Bibliography
Copelan E. Thomas and Weston I. Fred, Financial Theory and Corporate Policy, 3rd ed. (Addison Wesley, 1992) [CW]
Hull S. John, Option, Futures, and Other Derivatives, 6th ed. (Prentice Hall, 2007) [H]
Estrada Javier, Finance in a Nutshell: a no-nonsense companion to the tolls and techniques of finance (FT Prentice Hall, 2005) [E]

I.1: Introduction: Investment Decisions, The Role of Financial Markets and Empirical Regularities (E.1-6; CW.1-3)
I.2: Securities Structure, Choice under Uncertainty, No Arbitrage Principle Pricing (Expected Utility, Stochastic Dominance, Risk Preferences, Arrow-Debreu Prices) (CW.4-5)
I.3: Portfolio Choice: Mean-Variance Analysis (CW.6)
I.4: Equilibrium: CAPM, APT, Equity Premium, Sharp Ratios (CW.7, E.7-12)
I.5: Options (H.1,8-11; CW.8; E.24)
I.6: Weiner Processes, Ito’s Lemma, Black-Scholes (H.12-13)
I.7: Interest rates, Bonds, Yield Curve, Term Structure     (H. 4; CW.3; E.13-21)
I.8: Forwards, and Futures (H.2-6; CW.9; E.25)
I.9: Swaps, Credit Risk, Credit Derivatives (H.7,20-21)
I.10: Martingales and Equivalent Measures, The Market Price of Risk (H.25)
I.11: Interest Rate Derivatives, Real Options (H.26,28,29,31; E.22)
I.12: Options on Stock Indices or Currencies, Exotic Options, Weather and other Insurance Derivatives (H.14, 22-23; E.26)

II. Legal and Regulatory Aspects

Bibliography
Hal S. Scott, International Finance, Transactions, Policy, and Regulation,  15th ed. (New York:  Foundation Press, 2008)  [S] [nb references below are to the 14th edition; the 15th edition is expected to appear in July 2008]
2002 ISDA Master Agreement (Multicurrency-Cross Border) :
Edward F. Greene, Edward J. Rosen, Leslie N. Silverman, Daniel A. Braverman, Sebastian R. Sperber, U.S. Regulation of International Securities and Derivatives Markets, Eighth Edition (2005), chapt. 12

II.1: Introduction and US Capital Markets (S.1-2)
II.2: EU – The Single Market in Financial Services (S.4)
II.3: Asset Securitization (S.12)
II.4: Futures/Options (S.14)
II.5: Swaps (S.15; 2002 ISDA Master Agreement)    
II.6: Mutual Funds and Hedge Funds (S.16)
II.7: ADRs and Privatizations (S.18)
II.8: Emerging-Market Bonds and Financial System Reform (S.19-20)
II.9: Irish Stock Exchange
II.10: Case Study  [Subprime Mortgage-Backed Securitization]
II.11: Case Study [CDO]
II.12: Case Study – MetLife Equity Units

Jan Toporowski - Visiting Professor of Law