Events

1^st seminar cycle

Alberto Plazzi
Università della Svizzera Italiana

• Financing Decisions and MM principle
• Debt Policy with Taxes and Bankruptcy costs 
• Debt Policy With Agency Conflicts and Asymmetric Information 
• Dividend Policy 
• Behavioral Finance

2^nd seminar cycle

Stephen Schaefer
London Business School

• Introduction to derivatives and Arbitrage. Forwards, Swaps and Futures
• Fixed income derivatives.
• Introduction to Options. Trading Strategies Involving Options and Introduction to the Binomial Model
• The Black-Scholes Model
• Options on Currencies and Futures

3^rd seminar cycle

Walter Torous
MIT

• Property income streams
• Pro forma analysis
• Equity valuation
• Tax analysis
• Financial structuring of real property ownership

4^th seminar cycle

Yacine Ait-Sahalia
Princeton University

• Arbitrage and risk‐neutral pricing
• Classical interest‐rate models & Multifactor interest‐rate models
• Credit risk and default
• Nonparametric density estimation for interest rates & Nonparametric estimation of volatility
• Nonparametric pricing of interest‐rate derivatives

5^th seminar cycle

Michel Dacorogna
Prime Re Solutions

• The concept of risk, risk measure and the pricing of risk
• Aggregation of risk and dependencies
• Concept of capital and management of capital
• The new Solvency Regulations and the Role of Reinsurance
• Entreprise Risk Management (ERM) towards a holistic approach to risk management

6^th seminar cycle

Alain Monfort
Centre de Recherche en Économie et STatistique (CREST)

• Stochastic processes & Statistical modelling of a stochastic process
• Generalisations of univariate ARCH models
• Inference in ARCH-GARCH models
• Multivariate GARCH models
• Hidden Markov Chain models (or Discrete Factor Models)

7^th seminar cycle

Jean-Michel Grandmont
Centre de Recherche en Économie et STatistique (CREST)

• Choice among risky prospects. The expected utility hypothesis. Measures of risk aversion. “Paradoxes” in actual decision making
• Prices of marketed assets and state prices. Absence of arbitrage opportunity and pricing of derivative securities
• Pricing in complete financial markets: the consumption based capital asset pricing model (CCAPM).  Allocation of risks