Completed Note on Theory of Financial Decision_making and Analysis/财务决策与分析理论
新加坡大学金融研究生学习资料
Financial decision-making and analysis for MBAs and Masters of Finance
Singapore Management University


Course description:
This course is structured in four partThe first part,
Chapters 1-3, provides an introduction to utility theory, arbitrage, portfolio formation, and efficient markets;
Chapters 4-9 cover single-period equilibrium models.
Chapter 10, which begins the third main section on multiperiod models, introduces models set in more than one period. It reviews briefly the concept of discounting, with which it is assumed the reader is already acquainted, and reintroduces efficient markets theory in this context.
Chapters 11 and 13 examine the multiperiod portfolio problem.
Chapter 14 covers option pricing. Using arbitrage reasoning it develops distributionfree and preference-free restrictions on the valuation of options and other derivative assets. It culminates in the development of the Black-Scholes option pricing model. Chapter 15 summarizes multiperiod models and provides a view of how they complement one another and the single-period models. It also discusses the role of complete markets and spanning in a multiperiod context and develops the consumption- based asset pricing model.

Chapter 16 is a second mathematical interruption—this time to introduce the Itoˆ calculus.
Chapter 17 explores advanced topics in option pricing using Itoˆ calculus.
Chapter 18 examines the term structure of interest rates using both option techniques and multiperiod portfolio analysis. Chapter 19 considers questions of corporate capital structure.
Chapter 19 demonstrates many of the applications of the Black-Scholes model to the pricing of various corporate contracts.

Textbook:
Theory of Financial Decision Making
Jonathan E. Ingersoll, Jr.
Yale University