5-Week Block Spring 2013.

Professor Lamoureux

This class meets on Wednesdays from 3:30 - 6:20 pm in McClelland Hall, Room 315-S.

Office hours: Monday and Tuesday 9:30 - 11:00 am. + By appt.

The TA for this class is Filippo Curti. He resides in the PhD student carrels in Room 315. His e-mail address is curti@email.arizona.edu. + appt.

Recommended Materials:

• Books:
• Options, Futures, and other Derivatives (8th edition) , by John Hull.

Institutional and Intellectual Context of the course:

This five week block is designed to introduce you to research in derivative pricing-- models and empirics.

Conduct of Course and Grading:

Five weeks passes very quickly, so it is imperative to come to class prepared. To this end, I will provide a set of questions that I would expect you to be able to answer on the finance comprehensive exam--after covering the materials for each week. A good way to prepare for class is to answer these questions beforehand, and ask me about any questions that you may have during the class.

• There are 2 assignments that involve working with data:
  1. Estimate a GARCH(1,1) model on daily stock return data for 4 years of daily returns on 3 individual stocks.
  2. Evaluate option and stock returns in the vein of Coval and Shumway and Branger and Schlag.