The objectives of this course are to explain what Alpha is about (by opposition to beta) and what are the various form it can take when analysing and eventually replicating it through advanced methods in quantitative Investment strategies.
Session 1: Definitions of Alpha, does Alpha still exist? Technics and tools
Session 2: Traditional Risk Premia (the ERP puzzle and the main equity factors)
Session 3: Traditional RP (fixed income, commodities, illiquid assets)
Session 4: Alternative RP (Definition, How alternative investments Implement it ?)
Session 5: Option strategies (vanilla)
LabClass 1: Applications
Session 6: Volatility arbitrage fund
LabClass 2: Applications
Session 7: Variance Swaps
LabClass 3: Applications
T. Béchu : Sessions 1-4
S. Botbol : Sessions 5 et 6 and Labclass 1 et 2
B. Périn : Session 7 and Labclass 3
Cochrane, J.H.(2005), Asset Pricing, Revised Edition, Princeton University Press.
Hull, J. (2006), Options, futures and other derivatives, 6th ed., Pearson Prentice Hall
Ilmanen, A. (2011), Expected returns, Wiley Finance.
MacDonald R. L. (2006) Derivatives Markets, 2nd ed., Addison Wesley
Riva, F. (2008) Applications financières sous Excel en Visual Basic, 3ème éd., Economica.