Lecture Notes on Finance

Author(1): David Lando
Webpage: http://staff.cbs.dk/dlando/
Author(2): Rolf Poulsen
Webpage: http://www.math.ku.dk/~rolf/
Type: Study Notes
Level: Advanced MBA, MSc(Fin, Math. Fin)

The first chapter briefly describes the role of financial markets. The next chapter is about payment streams under certainty. You can read about zero coupon bonds, the term structure of interest rates, compounding, annuities, Internal Rate of Return (IRR), Net Present Value (NPV) and capital budgeting under certainty. The authors cover some bond important topics also such as duration, convexity and immunization. Arbitrage pricing in a single period model is covered in chapter 4 in which the authors describe the binomial model for option pricing. In the next chapter the discussion is about multi-period arbitrage pricing. The reader can find about conditional expectations, martingales and equivalent martingale measures. Chapter 6 is about option pricing and chapter 7 is about the Black and Scholes formula. The next chapter covers stochastic interest rates and chapter 9 is about portfolio theory. The authors develop the mathematics of mean variance portfolios (Markowitz portfolios) and the Capital Asset Pricing Model (CAPM). The topic of chapter 10 is factor models and the Arbitrage Pricing Theory (APT). In chapter 11 there is a switch to corporate finance. Firms' financial decisions are analyzed in a formal framework. You can read about the Modigliani-Miller results, the tax shield, bankruptchy costs and the financing project with positive NPV. The final chapter is about the Efficient Markets Hypothesis (EMH).

David Lando is professor at the Department of Finance, Copenhagen Business School and Rolf Poulsen is professor at the Department of Mathematical Sciences, University of Copenhagen

link:

Lecture Notes on Finance Theory I

Author: Jiang Wang
Type: Study Notes, Lecture Notes
Level: Undergraduate(B.A., Econ, Fin)

Chapter 1 is an introduction to Finance. It is about the valuation of assets, present value, and the role of financial markets. Chapter 2 deals with present value in more detail. The concepts of future value, compounding, real versus nominal rates, annuities and perpetuities are also covered. Chapter 3 is about fixed income securities, bonds, the term structure of interest rate, inflation risk and credit risk. In chapter 4 the discussion is about common stocks, discounted cash flow (DCF) models and relative valuation models such as Price to Earning (P/E) ratio. Capital Budgeting is covered in the next chapter in which the reader can find how to evaluate a business project using the Net Present Value (NPV) rule. Chapters 6 through 9 are about risk return relationships, portfolio theory, the Capital Asset Pricing Model (CAPM), the Arbitrage Pricing Theory (APT), and the Efficient Market Hypothesis. Chapters 10 and 11 discuss about Forwards, Futures and Options. The final chapter is a discussion about Real Options.

In the following link you can find Jiang Wang's lecture notes on Finance Theory I (MIT).

Classic Lecture Notes of Dr. Robert C. Merton

Author: Robert Merton
Type: Study Notes, Lecture Notes
Level: MBA, MSc(Econ, Fin)

Robert C. Merton is Nobel laureate in Economics, son of Robert K. Merton, a distinguised sociologist. Robert C. Merton is well known both in academia and finance industry. He has published extensivly on option pricing, intertemporal asset pricing (ICAPM) and on intertemporal portfolio problem. Merton is also well known among the finance professionals for his involment along with Myron Scholes in the "Long Term Capital Manegement" (LTCM) hedge fund which failed in 1998.

You can find the classic lecture notes of Dr. Robert C. Merton in the following link: