FIN-615 / 3 credits

Teacher: Hugonnier Julien

Language: English


Frequency

Every year

Summary

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

Content

Keywords

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

Learning Prerequisites

Required courses

  • FIN 415: Stochastic calculus
  • FIN 609: Asset pricing

 

Important concepts to start the course

  • Foundations in probability theory and statistics
  • Working knowledge of stochastic calculus
  • Working knowledge of discrete asset pricing

Learning Outcomes

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

  • Construct an equilibrium asset pricing model
  • Solve a stochastic control problem using verification
  • Solve a portfolio and consumption choice problem using the martingale method
  • Describe the key theoretical asset pricing puzzles

Transversal skills

  • Plan and carry out activities in a way which makes optimal use of available time and other resources.
  • Continue to work through difficulties or initial failure to find optimal solutions.
  • Demonstrate the capacity for critical thinking

Teaching methods

Lectures and weekly Problems sets based on research papers.

Expected student activities

  • Class attendance
  • Weekly readings
  • Weekly problem sets

Assessment methods

  • Problem sets 30%
  • Final exam 70%

Resources

Bibliography

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

In the programs

  • Exam form: Written (session free)
  • Subject examined: Dynamic Asset Pricing
  • Lecture: 28 Hour(s)

Reference week