Coursebooks 2017-2018

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Dynamic Asset Pricing

FIN-603

Lecturer(s) :

Trojani Fabio

Language:

English

Frequency

Every year

Remarque

This course takes place at UNIGE - see schedule

Summary

This course provides an advanced introduction to the methods and results of continuous time asset pricing theory.

Content

We will cover recent asset pricing models that have been proposed to study and explain the main asset pricing puzzles.

Topics will include no-arbitrage restrictions on asset prices, homogenous and heterogenous equilibrium models, and non additive preferences such as preferences under ambiguity aversion.

Keywords

Asset Pricing; General Equilibrium; Optimal Portfolios.

Learning Prerequisites

Important concepts to start the course

Knowledge of discrete-time asset pricing and the stochastic discount factor approach in discrete time. 

 

Knowledge of stochastic calculus, including Girsanov Theorem, Feynman-Kac and Itô's formula for stochastic integrals. 

Assessment methods

Written exam.

Resources

Websites

In the programs

Reference week

 
      Lecture
      Exercise, TP
      Project, other

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  • Autumn semester
  • Winter sessions
  • Spring semester
  • Summer sessions
  • Lecture in French
  • Lecture in English
  • Lecture in German