Coursebooks

Dynamic Asset Pricing (2019)

FIN-615

Lecturer(s) :

Cujean Julien

Language:

English

Frequency

Every year

Summary

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

Content

This course provides an advanced introduction to the methods of continuous time asset pricing. Topics will include no--arbitrage restrictions on assets prices, stochastic control methods for consumption and portfolio choice, complete and incomplete equilibrium models, and an introduction to the modeling of certain frictions.

A tentative outline of the course is as follows:

Lecture 1: The market model
¿ Information Structure
¿ Price Dynamics
¿ Arbitrage and Admissible trading strategies
¿ The fundamental theorems of Asset Pricing

Lecture 2 : Portfolio and consumption choice in complete markets
¿ The dynamic programming approach
¿ The static budget constraint
¿ The Martingale Approach
¿ The Myopic Portfolio
¿ Hedging Demands

Lectures 3 and 4: Equilibrium models
¿ The Lucas Model
¿ The CCAPM
¿ Multiple Stocks and Market Completeness
¿ Multiple Goods Economies
¿ Production economies
¿ Multiple Agents: Aggregation and the Representative Agent

Lecture 5: Stochastic control and HJB equations
¿ The dynamic programming principle
¿ Verification theorems in finite and infinite horizon
¿ Merton's problem
¿ Explicit Solutions

Lecture 6: Incomplete information and learning
¿ Incomplete vs. Asymmetric Information
¿ Filtering in continuous-time
¿ Impact on Asset Prices.

Lecture 7: Topic to be decided in class among the foloiwng choices:
¿ Portfolio constraints
¿ Search markets of decentralized trading
¿ Transaction costs
¿ Asset pricing bubbles

Keywords

Asset pricing, general equilibrium, optimal portfolios, optimal stochastic control, asset pricing frictions

Learning Prerequisites

Required courses

Important concepts to start the course

Learning Outcomes

By the end of the course, the student must be able to:

Transversal skills

Teaching methods

Lectures and weekly Problems sets based on research papers.

Expected student activities

Assessment methods

Resources

Bibliography

A complete list of references will be distrbuted to students in the first week of the course.

In the programs

  • Finance (edoc), 2019-2020
    • Semester
    • Exam form
      Written
    • Credits
      3
    • Subject examined
      Dynamic Asset Pricing (2019)
    • Lecture
      28 Hour(s)

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