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806300 |
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Course |
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| Asset Pricing - advanced (2016) | ||
Faculty |
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| Professor Claus Munk | ||
Course Coordinator |
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| Professosr Claus Munk | ||
Prerequisites |
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| Participants are assumed to have a broad knowledge of finance theory at least at the level of mainstream finance texts such as Bodie, Kane, and Marcus (2014), Brealey, Myers, and Allen (2014), or Hillier, Grinblatt, and Titman (2011). In particular, it is important that participants are acquainted with portfolio mathematics, the mean-variance analysis of optimal portfolio choice, the Capital Asset Pricing Model, the binomial and the Black-Scholes-Merton models of option pricing, and basic concepts and relations from bond markets. Furthermore, participants should have some familiarity with utility functions, basic statistics and probability theory, optimization problems, and vectors and matrices. Finally, participants should have some experience with continuous-time modeling using stochastic processes at a level used in many option pricing texts, e.g. Hull (2014). | ||
Aim |
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| To provide participants with a firm and rigorous knowledge and understanding of asset pricing models of finance. The course covers fundamental concepts, relations, and models but it also outlines some recent trends in the development of asset pricing models. Both discrete-time and continuous-time models are discussed. The course has a theoretical focus, but empirical studies and results are used for the evaluation of the theoretical models. | ||
Course content |
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| Introduction to multi-period financial modeling including stochastic processes; state-price deflators; preferences of individuals; optimal consumption and investment decisions of individuals; equilibrium in financial markets; basic consumption-based asset pricing; advanced consumption-based asset pricing models; factor models; the economics of the term structure of interest rates; derivatives pricing. A few additional topics may be added. | ||
Teaching style |
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| 44 lectures including discussion of exercises and student presentations. Students have to pass a written assignment and participate in an oral in-class presentation before they are allowed to take the final exam. | ||
Lecture plan |
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| TBA | ||
Learning objectives |
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| N/A | ||
Exam |
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| The course ends with a final oral exam. The student draws a topic from a list of topics published at least two weeks before the exam. The student then has 20 minutes to prepare an oral presentation of the topic supported by calculations, illustrations, etc. on the white/black-board. The examination lasts 20 minutes including the time the examiner needs to determine the grade and communicate it to the student. The examination begins with the student giving the prepared presentation in front of the examiner for 10-15 minutes, possibly interrupted by clarifying questions by the examiner. Towards the end of the exam, the examiner might have supplementary questions related or unrelated to the topic of the presentation. | ||
Other |
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| N/A | ||
Start date |
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| 05/09/2016 | ||
End date |
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| 21/11/2016 | ||
Level |
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| PhD | ||
ECTS |
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| 7,5 | ||
Language |
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| English | ||
Course Literature |
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| Munk, Claus (2013). Financial Asset Pricing Theory, Oxford University Press. (585 pages)About 5-10 selected journal articles. | ||
Fee |
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| DKK 9,750 | ||
Minimum number of participants |
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| 5 | ||
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Maximum number of participants |
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| 10 | ||
Location |
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Mondays weeks 36-47, from 9:40-13:20 Kilevej 14A, 2000 Frederiksberg Weeks 36-38 and 41-47 in room K143 Weeks 39-40 in room Ks48 |
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Contact information |
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Bente S. Ramovic bsr.research@cbs.dk Tel: +45 3815 3138 |
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Registration deadline |
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| 08/08/2016 | ||