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Lecture Notes in Financial Economics
by Antonio Mele
The London School of Economics and Political Science
July 2009
The present Lecture Notes in Financial Economics are based on my teaching notes for advanced
undergraduate and graduate courses on financial economics, macroeconomic dynamics, financial
econometrics and financial engineering. These notes are still underground. The economic
motivation and intuition are not always developed as deeply as they deserve, some derivations
are inelegant, and sometimes, the English is a bit informal. Moreover, I didn’t include yet material
on asset pricing with asymmetric information, monetary models of asset prices, or asset
prices implications of overlapping generations models. Finally, I need to include more extensive
surveys for each topic I cover, especially in Part II. I have been constantly revising these
notes for years, and I plan to revise them again. Any comments on this version are more than
welcome.
I Foundations 12
1 The classic capital asset pricing model 13
2 The CAPM in general equilibrium 34
3 Infinite horizon economies 64
4 Continuous time models 107
5 Taking models to data 145
II Asset pricing and reality 178
6 On kernels and puzzles 179
7 Aggregate stock market fluctuations 198
8 Tackling the puzzles 229
9 Information and other market frictions 244
III Applied asset pricing theory 246
10 Options and volatility 247
11 Interest rates 276
12 Risky debt and credit derivatives 341
13 Financial engineering and fixed income securities 381
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