Courses Master Display 2016-2017

Course Description To PDF
Course title Asset Pricing
Course code EBC4208
ECTS credits 6,5
Assessment Whole/Half Grades
Period Start End Mon Tue Wed Thu Fri
1 5-9-2016 28-10-2016 X X
Level Advanced
Coordinator Peter Schotman
For more information:
Language of instruction English
Students learn to apply mathematical tools to model the valuation of financial assets and assess risk.
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.
Asset Pricing by John Cochrane, revised first edition, Princeton University Press, 2005.
Strong quantitative background.
Teaching methods PBL / Presentation / Lecture / Assignment
Assessment methods 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
Master Economic and Financial Research Track Econometrics Econometrics, Finance & Monetary Economics
Master Economic and Financial Research Econometrics, Finance & Monetary Economics
Master Econometrics and OR Econometrics