Courses Master Display 2016-2017
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| Course title | Asset Pricing | |||||||||||||||||||||||||||||||||||||||
| Course code | EBC4208 | |||||||||||||||||||||||||||||||||||||||
| ECTS credits | 6,5 | |||||||||||||||||||||||||||||||||||||||
| Assessment | Whole/Half Grades | |||||||||||||||||||||||||||||||||||||||
| Period |
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| Level | Advanced | |||||||||||||||||||||||||||||||||||||||
| Coordinator |
Peter Schotman For more information: p.schotman@maastrichtuniversity.nl |
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| Language of instruction | English | |||||||||||||||||||||||||||||||||||||||
| Goals |
Students learn to apply mathematical tools to model the valuation of financial assets and assess risk.
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| Description |
Asset Pricing deals with the valuation of financial securities. Most of this course follows the textbook Asset Pricing by John Cochrane. The main topic of the book is valuation of any kind of financial instrument within the unified framework of stochastic discount factors. The first, and largest, part of the course covers part I of the book and deals with many of the standard theory tools in asset pricing. This part of the course introduces concepts like the stochastic discount factor, no-arbitrage, factor pricing models, complete markets, equilibrium asset pricing, beta-pricing models, risk neutral valuation, contingent claims, mean-variance analysis, intertemporal asset pricing, conditional asset pricing, spanning, Hansen-Jagannathan bounds.
The second part of the course follows part III of the book and deals specifically with the valuation principles for derivative securities like options and fixed income instruments. This part applies the stochastic discount factor techniques in continuous time models. The final part of the course considers applications in recent research papers. |
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| Literature |
Asset Pricing by John Cochrane, revised first edition, Princeton University Press, 2005.
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| Prerequisites |
Strong quantitative background.
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| Teaching methods (indicative; course manual is definitive) | PBL / Presentation / Lecture / Assignment | |||||||||||||||||||||||||||||||||||||||
| Assessment methods (indicative; course manual is definitive) | Final Paper / Attendance / Participation | |||||||||||||||||||||||||||||||||||||||
| Evaluation in previous academic year | For the complete evaluation of this course please click "here" | |||||||||||||||||||||||||||||||||||||||
| This course belongs to the following programmes / specialisations |
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