Instrumentos e Mercados Financeiros (1 º Sem 2018/2019)

MF (Mathematical Finance)

Readings Link

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References

Mandatory JP  Joshi, M. S., and J. M. Paterson  (2013).   Introduction to mathematical portfolio theory. Cambridge University Press. RMG Material from Classes: slides, exercises, lecture notes.   [Optional] [EGBG]  Elton E.J., M. J. Gruber, S. J. Brown and W. N. Goetzmann (2014), Modern Portfolio Theory and Investment Analysis, 9th Edition, Wiley

Part I - Financial Market Structure and Instruments Link

RMG: Slides Part I

[EGBG: Chapter 2 + Chapter 3]

 

Part II - Theory of Portfolio Management Link

JP: Chapter 1, Chapter 2, Chapter 3, Chapter 4, Chapter 5, Chapter 6 + including end of chapter exercises.

RMG: Slides Part II (1+2a+2b+2c+3) + Exercise Booklet: Sections 1 and 2  

[EGBG: Chapters 4, 5, 6, 7, 8, 9 and 12]

 

Part III - Selecting Optimal Portfolios Link

JP: Chapter 7, Chapter 8, Chapter 9, Chapter 10, Chapter 11 + including end of chapter exercises.

RMG: Slides Part III (1+2) + Exercise Booklet: Section 3 

[EGBG: Chapter 1, 11]

 

Part IV - Models of Equilibrium in Capital Markets