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Foundations
of financial markets - Fall 2007 |
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Week 1: BKM 1
September 5
Introduction
Syllabus 
Book picture! 
Class slides 
A video on Mortgage Backed Securities 
The two most dangerous words on Wall Street 
It’s not funny being Fannie! 
Week 2: BKM 2
September 10
Securities
Class slides
Download Homework 1 (due 9/19)
September 12
Securities (cont’d)
Announcement: we
officially have two TF's for the course [read
more here]
An article on very exotic
securities
Why is LIBOR defying
gravity? 
Taxing munis?
Week 3: BKM 3
September 17
Financial Markets
Announcement: TF's
have set up office hours [read
more here]
Class slides
Download Homework 2 (due 9/26)
An article on high return IPOs in the last three years
Where you googling 3 years ago? 
September 19
Short selling and buying on
margin
A look at the
markets: FED cuts rate by 50 basis points
Class slides
Solution to Homework 1
Week 4: BKM 5
September 24
Risk and Return
Class slides
The linear regression model
Download Homework 3 (due 10/3)
September 26
Asset Allocation (a primer)
Class slides on bivariate
asset allocation
Class slides on risk
aversion
More on forecasting volatility 
Solution to Homework 2
Week 5: BKM 6
October 1
Efficient diversification
Class slides
Examples 
Download Homework 4 (due 10/10)
October 3
Efficient diversification (cont’d)
An example of the benefits of diversification
Some plots of correlations
An example of asset allocation with two risky and one riskless
asset
Optimal portfolios with different borrowing and lending rates
A stock picking story 
Solution to Homework 3
Week 6: BKM 6
October 8
No class
Columbus Day! 
October 10
One factor models
Make sure to review the notes on the linear regression model