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Lectures on Financial Economics
° c by Antonio Mele
Swiss Finance Institute, University of Lugano
Centre for Economic Policy Research
These Lectures on Financial Economics are based on notes I wrote in support of advanced
undergraduate and graduate lectures in financial economics, macroeconomic dynamics, financial
econometrics and financial engineering.
Part I, “Foundations,” develops the fundamentals tools of analysis used in Part II and Part III.
These tools span such disparate topics as classical portfolio selection, dynamic consumption- and
production- based asset pricing, in both discrete and continuous-time, the intricacies underlying
incomplete markets and other market imperfections and, finally, econometric tools comprising
maximum likelihood, methods of moments, and the relatively more modern simulation-based
inference methods.
Part II, “Applied asset pricing theory,” is about identifying the main empirical facts in finance
and the challenges they pose to financial economists: from excess price volatility and countercyclical stock market volatility, to cross-sectional puzzles such as the value premium. This
second part reviews the main models aiming to take these puzzles on board.
Part III, “Asset pricing and reality,” aims just to this: to use the main tools in Part I and the
lessons drawn from Part II, so as to cope with the main challenges occurring in actual capital
markets, arising from option pricing and trading, interest rate modeling and credit risk and
their associated derivatives. In a sense, Part II is about the big puzzles we face in fundamental
research, while Part III is about how to live within our current and certainly unsatisfactory
paradigms, so as to cope with demand for intellectual expertise
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