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The following is a tentative schedule of the articles covered.
|
| Sessions 1 - 4: Portfolio Theory; Capital Markets; Fixed Income; Futures Forwards and Swaps
|
| No. |
Author |
Seminar Session |
| 1. |
|
A. Portfolio Theory |
| |
BKM
BKM
BKM
BKM
|
Chapter 6 - Risk and Risk Aversion
Chapter 7 - The Risky and Risk-Free Asset
Chapter 8 - Optimal Risky Portfolios
Chapter 25 - International Investments
|
| 2. |
|
B. Equilibrium in Capital Markets |
| |
BKM
BKM
BKM
BKM
BKM |
Chapter 9 - The Capital Asset Pricing Model
Chapter 10 - Index Models
Chapter 11 - Arbitrage Theory/Multi-Factor Models
Chapter 12 - Market Efficiency
Chapter 13 - Empirical Evidence on Security Returns |
| 3. |
|
C. Fixed Income Securities |
| |
BKM
BKM
BKM
|
Chapter 14 - Bond Prices and Yields
Chapter 15 - The Term Structure of Interest Rates
Chapter 4 - Interest Rates
|
| 4. |
|
D. Futures, Forwards and Swaps |
| |
Hull
Hull
Hull
Hull
Hull |
Chapter 2 - Mechanics of Futures Markets
Chapter 3 - Hedging Strategies Using Futures
Chapter 5 - Forwards and Futures Prices
Chapter 6 - Interest Rate Futures
Chapter 7 - Swaps |
| |
| Sessions 5 - 8: Options, Asset Liability and Financial Risk Management, and Valuation |
| No. |
Author |
Seminar Session |
| 5. |
|
E. Options - Part 1
|
| |
Hull
Hull
Hull
Hull
|
Chapter 8 - Mechanics of Options Market
Chapter 9 - Properties of Stock Options
Chapter 10 - Trading Strategies Involving Options
Chapter 11 - Binomial Trees
|
| 6. |
|
E. Options - Part 2 |
| |
Hull
Fabozzi
Hull
Hull
|
Chapter 12 - Weiner Processes and Ito’s Lemma
Chapter 37 - Valuation of Bonds w/Embedded Options
Chapter 13 - The Black-Scholes Model
Chapter 14 - Options on Indices/Currencies/ Futures
|
| 7. |
|
H. Financial Risk Management |
| |
Hull
Hull
Hull
|
Chapter 15: The Greek Letters
Chapter 18: Value at Risk
Chapter 20 - Credit Risk |
| 8. |
|
Asset Liability Management and Valuation |
| |
BKM
BKM |
Managing Bond Portfolios (Chapter 16)
Equity Valuation Models (Chapter 18) |
| back |
