Microsoft PowerPoint - PoF.ppt

SyllabusPart 1 - Single-period random cash flows 4

Stocks (incl. empirical features of returns)Mean-variance portfolio theoryUtility theory“Capital Asset Pricing Model” (incl. performance measurement)Factor models (incl. “Arbitrage Pricing Theory”)

Part 2 - Multi-period deterministic cash flows

Fixed income securities (incl. credit and market risk)Floating rate notes

Part 3 - Derivative securities

ForwardsFuturesOptionsSwaps

Midterm