Lecture Notes in Finance 1

Author: Paul Söderlind
Type: Study Notes, Lecture Notes, e-book
Level: Advanced MBA, MSc(Fin), Phd(Fin)

The introductory chapter of these lecture notes is about mean-variance portfolios. Two appendices follow. The first is a primer in matrix algebra and the second a primer in optimization. Index models are the topic of chapter 2 and risk measures the topic of chapter 3. The Capital Asset Pricing Model is covered in chapter 4. The next chapter discusses about utility functions, utility maximization, the two fund separation theorem and some alternative risk measures such as Value at Risk (VaR), Expected Shortfall and others. There is also a section on behavioral finance. Chapters 6 and 7 deal with some CAPM extensions, the APT and the testing of these pricing models. Chapter 9 is about performance analysis, chapter 10 about predicting asset returns and finally, chapter 11 is about event studies.

Download Paul Söderlind's "Lecture Notes in Finance 1" (MSc Course) using the following 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).

Notes on Portfolio Theory

Author: P.J.C. Spreij
Type: Study Notes, Lecture Notes
Level: MSc(Fin, Math. Fin)

You can download P.J.C. Spreij's "Portfolio Theory" clicking the link tha follows

Lecture notes on Advanced Portfolio Theory

Author: Thorsten Hens
Type: Study Notes, Lecture Notes
Level: MSc(Fin, Math. Fin)

You can download Thorsten Hens' lecture notes on Advanced Portfolio Theory using the following link:

Lecture Notes in Financial Economics

Author: Antonio Mele
Type: Study Notes, Lecture Notes, e-book
Level: MSc(Math. Fin, Fin), Ph.D.(Econ, Fin)

To Download Antonio Mele's "Lecture Notes in Financial Economics" follow the link below

Lecture Notes in Financial Economics

Antonio Mele's webpage:
http://www.antoniomele.org/

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Foundations of Asset Pricing

Author: Ronald Balver
Type: Study Notes, Lecture Notes
Level: Advanced Undergraduate(Econ, Fin), MSc(Econ, Fin, Math. Fin), Ph.D.(Econ, Fin)

Ronald Balver's "Foundations of Asset Pricing" are lecture notes for the graduate course on asset pricing.

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:

Mathematical Finance, Introduction to Continuous Time Financial Market Models

Author: Christian-Oliver Ewald
Type: Study Notes, Lecture Notes, e-book
Level: Advanced MBA, MSc(Math. Fin, Fin) , Ph.D.(Fin)

These lecture notes by Christian-Oliver Ewald are a short introduction to mathematical finance. MBA students and non-math major graduates will benefit from these notes. Chapter 1 deals with stochastic processes in continuous time. In chapter 2 the reader can find many topics about financial market theory such as arbitrage, martingale measures, hedging, completeness and pricing of options. Stochastic integration is covered in chapter 3. You can read about stochastic integrals, quadratic variation, Itō's lemma and Girsanov theorem. In chapter 4 the author covers the topics of the generalized Black Scholes model, the stochastic volatility model and the Poisoon market model. Finally, chapter 5 deals with portfolio optimization in continuous time both using the martingale and the stochastic control approaches.

Download Christian-Oliver Ewald's "Mathematical Finance, Introduction to Continuous Time Financial Market Models" using the link below

Stochastic Calculus, Filtering, and Stochastic Control

Author: Ramon van Handel
Type: Study Notes, Lecture Notes, e-book
Level: MSc(Math. Fin), Ph.D.(Fin)

These lecture notes for the course "Stochastic Calculus and Stochastic Control" from Ramon van Handel are an excellent coverage of the topic. The notes are very intuitive and thus are appropriate for readers with major other than mathematics. The lecture notes provide the necessary background, probability theory, stochastic processes, martingales, the wiener process (Brownian motion). Stochastic integrals, Itō's lemma and stochastic differential equatios (SDEs) are covered in later chapters. After the necessary background, optimal control and filtering theory are covered next. Optimal stopping is discussed in the final chapter.

You can download Ramon van Handel's "Stochastic Calculus, Filtering, and Stochastic Control" using the following link

Financial Mathematics I, Stochastic Calculus, Option Pricing, Portfolio Optimization

Author: Holger Kraft
Type: Study Notes, Lecture Notes
Type: Advanced Undregraduate(Math), MSc(Math. Fin), Ph.D.(Fin)

The lecture notes "Financial Mathematics I, Stochastic Calculus, Option Pricing, Portfolio Optimization" cover the topics of discrete-time pricing, stochastic calculus and continuous-time pricing and portfolio optimization. In chapter 2, both single-period and multi-period models are considered. The reader can find information about Arrow-Debreu securities and risk neutral measures. An introduction to stochastic calculus is provided in chapter 3. Stochastic processes, martingales, Itō integrals and Itō's lemma are discussed. In chapter 4, the topic of option pricing in continuous-time is discussed. The topic of chapter 5 is the continuous-time portfolio problem, and both the martingale approach and the stochastic optimal control approach are discussed.

Download Holger Kraft's "Financial Mathematics I, Stochastic Calculus, Option Pricing, Portfolio Optimization" using the link that follows