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Financial Economics 220:413 is an “upper” level elective

Note: This is an Asynchronous online section meeting through Zoom.

You must have at minimum: a computer with a reliable internet connection to take this course as scheduled.

This course will address the practical and theoretical principles of Financial Economics at an intermediate level; to discuss the economic models employed in financial markets and allow economic students a thorough view into the financial markets.

Prerequisite: 220: 320 Intermediate Microeconomics

220: 322 Econometrics

All prerequisites require a minimum grade of C

Text: Roy E. Bailey The Economics of Financial Markets

ISBN-10: 0521612802 ISBN-13: 978-0521612807

Data analysis tool: Microsoft Excel /R

Learning Goals:

Upon conclusion student will have researched and practiced:

Financial markets, asset classes and structure

Risk and Portfolio selection

Asset pricing –CAPM, APT, Binomial (Options), Black Scholes (Options)

Bonds, Futures, Swaps and Options

Current data and analysis in the financial markets

Pedagogy:

This course will employ lectures, supplemental reading and additional online resources, quizzes and RP

(see NOTES page 2)

Grading: (1) Midterm (via Canvas) 25% due Wed 7/27 6am EST

(1) Final (via Canvas) 25% due Thursday Aug 18 6am EST

(2) quizzes (via Canvas) 10%

No make-up quizzes

(5) RP (Groups of 4) 30%

Attendance/Participation 10 % http://sims.rutgers.edu/ssra

All of our course materials (slides and excels) are for our course use only, redistribution is prohibited and protected.

Academic Integrity

Cheating and Plagiarism will not be tolerated. I will give enough opportunity to earn high grades by yourself there is no need for me to find any cheating or plagiarism of any sort. Dr. Sopher will be notified immediately.

All quizzes and RP will be completed by their due dates, no late work to be accepted.

Attendance

Students are expected to attend all classes. If you expect to miss more than one or two classes because of illness or a family emergency, please use the University absence reporting website http://sims.rutgers.edu/ssrato indicate the date and reason for your absence. An email is automatically sent to me.

Class Conduct

It is the expectation of mutual respect throughout the course, not only between instructor and student but between you and your peers.

No recordings/photos/videos are to be taken of our class, you will have access to all materials needed via Canvas and such infringes on the privacy of everyone in the course

Canvas

The quizzes will be administered via our Canvas course site module. Any issues taking quizzes via Canvas module will impede your course be aware of this from the start of our course. Discuss with me your issues with this type of testing ASAP. Everything you will need will be available through our Canvas course site as well.

Communication:

1.Canvas messages

2.Primary e-mail: [email protected]

E-mails are expected to be professional and proper, only e-mails of this type will be answered.

Missed quizzes/exams:

A missed quiz will earn a zero points, no make-up for quizzes.

A missed exam will earn zero points. Departmental Make-Up Exams will only be given under extraordinary circumstances the first makeup day after the in class exam. Students should check with me before missing an exam to see whether their particular circumstances meet my very limited definition of extraordinary.

Notes:

§ Quizzes and Exams will be multiple choice, T/F and/or fill in questions that test concept and/or calculation

o They are to be completed individually

§ RP in this course are research and/or practice assignments

o Groups of 4 or less

o You will submit your work as well as an accompanying questionnaire via Canvas

§ Attendance/Participation will include weekly Attendances and in addition online interaction on the Forums: Respond to a topic with 3+ sentences

All quizzes and RP will be completed by their due dates, no late work to be accepted.

All grades achieved during the semester are finalized by the last day of class.

Any RP grades for review must be in writing within 3 days of grade return.

Week 1 7/10	Financial Economics, Asset classes, interest rates, Present Value, Expectation, Variance, Co-Variance	Ch 1
	Return, Risk ,Expected Value Criterion , Uncertainty, Expected Utility Hypothesis , risk aversion, risk premium	Ch 4	*Release RP1*	*Quiz 1* *L 1,2*
	Portfolio selection: Mean-Variance Model , Modern Portfolio Theory and the Efficient Frontier
Week 2 7/17	CAPM: assumptions, derivation, systematic risk, idiosyncratic risk APT : assumptions, single-factor ,multi-factor	Ch 5	*Release RP2*
	Risk: Volatility, VAR, GARCH(1,1) model Markets: Bonds ,ZCB , Duration, Yield Curves Term structure of interest rates	Ch 6 Ch 8
	Debt instruments
Week 3 7/24	Markets: Futures, forwards, spot vs. futures, futures curves, backwardation/contango, pricing futures *Exam 1* *due Wednesday 7/27 6am EST*	Ch 12 Ch 13	*Release RP3*	*Exam 1 L3-5*
	Speculation and hedging , basis, hedge ratio, optimal hedging and Linear regression	Ch 14
Week 4 7/31	Commodities, Foreign exchange, financial futures, interest rate futures, stock index futures Swaps : fundamentals , plain vanilla IR swap	Ch 15	*Release RP4*	*Quiz 2* *L 6,7*
	Markets: Options fundamentals , put-call parity	Ch 15 Ch 17
Week 5 8/7	Pricing, valuation, Implied volatility, binomial, Black-Scholes, the Greeks, applications	Ch 18
	Behavioral Finance/Economics Economic Data and Reports Fundamental vs. Technical vs. Quantitative Analysis	Ch 19	*Release RP5*
Week 6 8/14	Caveats of Asset pricing, Speculation and What makes sense to you, now that you know? *Final* *due Thursday Aug 18 6am EST*			*Final* *8/18* *L 7-10*

Disclaimer: We will cover content in this order. The dates of quizzes, midterms and RP are tentative, they can change due to our class meetings. I will discuss in advance before release and due dates. I reserve the right to make any changes to the syllabus.