Investments ... Z. Bodie, A. Kane, and A.J. Marcus, 2002, Investments, McGraw-
Hill, 5th ... Theory and Investment Analysis, John Wiley and Sons, 6th Edition.
University of Piraeus
M.Sc. in Banking and Finance Investments Course Outline (2008-2009)
George Skiadopoulos, Ph.D.
University of Piraeus, Department of Banking and Financial Management Financial Options Research Centre, University of Warwick
[email protected] http://web.xrh.unipi.gr/faculty/gskiadopoulos/
Στο πλαίσιο και κατ’ εφαρμογή των διατάξεων των ν. 2387/20, 4301/29, του ν.δ. 3565/56, 4254/62, 4264/62 και ν. 100/75, ν. 2121/93, απαγορεύεται χωρίς γραπτή άδεια του Φυσικού Προσώπου με την επωνυμία Γεώργιος Σκιαδόπουλος, η αναδημοσίευση και γενικά η αναπαραγωγή με οποιοδήποτε μέσο ή τρόπο, μηχανικό, ηλεκτρονικό, φωτοτυπικό, ηχογράφησης ή άλλως πως, τμηματικά ή περιληπτικά στο πρωτότυπο ή σε μετάφραση, κατά παράφραση ή διασκευή, του συνόλου των παρόντων σημειώσεων που φέρουν την ένδειξη «Copyright 2008, Dr. George Skiadopoulos» σε κάθε σελίδα.
Το παρόν έντυπο αποτελεί πνευματική ιδιοκτησία και copyright του Γεωργίου Σκιαδόπουλου.
Duration: 39 hours- 3 hours lecture, once a week (18:00-21:00). Objective This course aims to make students familiar with various asset classes and investment strategies. Traditional (equities and bonds) and alternative (hedge funds, commodities, volatility) asset classes will be examined. Mutual funds and option strategies will also be considered. Performance measurement shall be analysed with a view to market efficiency.
Audience The course is designed for those who aim to participate (or already participating) in the Greek and international markets as traders, research analysts, or fund managers. It will also be helpful to prospective doctoral students.
Preliminaries Knowledge of statistics and econometrics (a graduate course will suffice) is necessary. Tutorials on the use of MATLAB shall be offered (Teaching Assistant: Miss Eirini Konstantinidi).
Examination Students will be marked according to their performance on the group assignments (GA), and a three hours final exam (FE). Hence, FM=20% × GA + 80% × FE Some of the group assignments will be presented in the class. Each team will have 10 minutes to present the assignment and discuss the results by means of a Powerpoint presentation. Questions will be posed.
Bibliography The Lecture’s notes will be distributed. These draw on material from the course textbooks and the papers that will be recommended during the lectures.
Course Outline Section 1: Utility Theory & Asset Allocation
[5 hours]
Section 2: Equity Valuation
[2 hours]
Section 3: Bond Portfolio Management
[6 hours]
Section 4: Futures & strategies
[5 hours]
Section 5: Options & Strategies
[6 hours]
Section 6: Multifactor models & APT
[2 hours]
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Section 7: Performance Measurement
[3 hours]
Section 8: Efficient Markets
[2 hours]
Section 9: Mutual funds
[2 hours]
Section 10: Hedge funds
[2 hours]
Section 11: Commodities
[2 hours]
Section 12: Volatility as an Asset Class
[2 hours]
Course Textbook Z. Bodie, A. Kane, and A.J. Marcus, 2002, Investments, McGraw-Hill, 5th Edition.
Other Recommended Textbooks M. P.J. Anson, 2006, Handbook of Alternative Assets, Wiley Editions, 2nd Edition. T. Copeland, J. Weston, and Κ. Shastri, 2005, Financial Theory and Corporate Policy, Addison-Wesley Publishing Company. K. Cuthbertson and D. Nitzsche, 2004, Quantitative Financial Economics, Stocks, Bonds & Foreign Exchange, Wiley Editions, 2nd Edition. J. Danthine and J. Donaldson, 2005, Intermediate Financial Theory, Elsevier, 2nd Edition. E.J. Elton, M.J. Gruber, S.J. Brown, W.N. Goetzmann, 2003, Modern Portfolio Theory and Investment Analysis, John Wiley and Sons, 6th Edition. E. Fama, 1976, Foundations of Finance: Portfolio Decisions and Securities Prices, Basic Books, Inc, Publishers. Francis, J.C. and R. Ibbotson, 2002, Investments: A Global Perspective, Prentice Hall. Haslem, J.A., 2003, Mutual Funds: Risk and Performance Analysis for Decision Making, Blackwell Publishing. Additional papers will be recommended during the lectures
About the Lecturer George Skiadopoulos is Assistant Professor in Financial Derivatives at the University of Piraeus in the Department of Banking and Financial Management. He is also an Associate Research Fellow at the Financial Options Research Centre (FORC) of Warwick Business School, University of Warwick. He graduated from the 3
Department of Economics of the Athens University of Economics and Business (AUEB) with a first class degree and the best grade in his class. He holds a Ph.D. in Financial Derivatives from the University of Warwick, and M.Sc. in Mathematical Economics and Econometrics from the London School of Economics. During the period 1995-99 he worked as a Research Fellow in FORC. There, he focused on the topic of option pricing and hedging under implied volatility smiles undertaking projects supported by the Centre's Corporate Members such as Deutsche Morgan Grenfell, Foreign and Colonial, HSBC, Kleinwort Benson Securities, Price Waterhouse& Coopers, Robert Fleming, SBC Warwburg, Tokyo Mitsubishi International, and the Central Bank of Austria. From 1999 until 2000 he worked in the Research and Development Department of the Athens Derivatives Exchange (ADEX). He has also acted as a consultant to leading Greek financial institutions such as Alpha Bank, Commercial Bank, ADEX, and the Hellenic Petroleum Company. He has taught in the University of Warwick, in the Athens National & Capodestrian University, AUEB, and the Hellenic Open University. He has taught undergraduate and postgraduate courses in financial derivatives and risk management, financial theory, portfolio management, alternative investments, and stochastic calculus with applications in Finance. He has also offered a number of training executive courses in Athens, London and Barcelona. His research interests lie, among others, in the areas of option pricing and hedging, the dynamics of implied volatility smiles, the use of information from option markets for asset allocation purposes, risk management focusing on Value-at-Risk, commodities and volatility derivatives. His work has been published in academic journals such as the Energy Economics, European Financial Management Journal, International Journal of Theoretical and Applied Finance, Journal of Alternative Investments, Journal of Banking and Finance, Journal of Futures Markets, Journal of Risk Finance, Review of Derivatives Research, RISK, in edited book volumes, and he is a speaker in international conferences. He has also taught a number of executive training courses in Greece and abroad. He is a member of the editorial board of the Journal of Business Finance and Accounting (JBFA) and serves in the Academic Advisory Council of the Professional Risk Managers International Association (PRMIA).
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