Markus K. Brunnermeier
email: markus@princeton.edu  
web:   http://www.princeton.edu/~markus

 

   

 

 

 

 

 

 

 Eco 467/Fin 567: Institutional Finance

Fall 2009

 
Lecture Topic
01
What's Institutional Finance?  
Slides  
02
Static (Riskfree) Arbitrage  
Slides - Riskfree Arbitrage  
Getting Started with UpTick  
UpTick User Guide  
Excel Calculator  
Debriefing of Simulation  
03
Dynamic Arbitrage Strategies to Replicate Non-linear Payoffs  
Slides  
04
Market Efficiency  
Slides  
Event Study  
Report on stock Pioneer  
Report on stock Voyager  
Debriefing of Simulation  
05
Market Making - Limit Orders  
Slides  
Further Reading  
Report on stock AEO  
Assignment prior to Simulation  
06
Portfolio Analysis, CAPM and Black-Litterman Model  
Slides  
Simulation  
07
Performance Evaluation - Hedge Funds  
Slides  
08
Liquidity, Limits to Arbitrage  
Slides on Merger Arbitrage  
Slides on Liquidity and Limits to Arbitrage  
Paper: Deciphering the Liquidity and Credit Crunch 2007-08  
09
Bubbles, Limits to Arbitrage  
Slides on Bubbles  
10
Banking and Maturity Mismatch  
Slides on Banking and Maturity Mismatch  
11
Fixed Income: Money Markets, Credit markets and Central Banks (student presentation)  
Money Markets  
Repos  
Credit Default Swaps  
Bank Regulation - Basel Accords  
Monetary Base and Fed Funds Market  
12
Institutions with Long-run Perspectives  
University endowments
- guest lecture by Andrew Golden (President of Princo)		  
Sovereign wealth funds  

 

Problem Sets Topic
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02
03