Courses Exchange Display 2019-2020

Course Description To PDF
Course title Equilibrium Theory and Financial Markets
Course code EBC4009
ECTS credits 6,5
Assessment None
Period
Period Start End Mon Tue Wed Thu Fri
5 14-4-2020 5-6-2020 X X
Level Advanced
Coordinator Arkadi Predtetchinski
For more information: a.predtetchinski@maastrichtuniversity.nl
Language of instruction English
Goals
Learn about the notion of competition in a setting with many households, firms, and commodities.
Understand the notions of competitive equilibrium, the first and second fundamental welfare theorem, and the core.
Understand the role of financial markets in reshuffling income across time and states of the world.
Learn about the consequences of market incompleteness.
Understand the Capital Asset Pricing Model.
Description
After introducing the necessary mathematical preliminaries and extending our knowledge on selected ingredients from consumer theory, the course focuses on general equilibrium models with
complete markets, in particular classical exchange and production economies. Central concepts to be studied are the competitive equilibrium and the core. Next, the model is extended to include time and uncertainty, and the strong assumption of complete markets is relaxed. This makes it possible to incorporate financial markets in a satisfactory way. We study the relationships between equilibrium and arbitrage opportunities, and the valuation of financial securities. The well-known CAPM is a special case of the model studied. A rigorous derivation of the CAPM is provided.
Literature
Reny and Jehle, Advanced Microeconomic Theory, Addison-Wesley, 1998 - LeRoy and Werner, Principles of Financial Economics, Cambridge University press, 2001
Prerequisites
Intermediate microeconomics course, e.g. Microeconomics, or Information, Markets and Organisation. Exchange students need to have obtained a Bachelor degree with a major in Economics or Econometrics and have an advanced level in mathematics.
an advanced level of English
Teaching methods PBL / Assignment
Assessment methods Written Exam
Evaluation in previous academic year For the complete evaluation of this course please click "here"
This course belongs to the following programmes / specialisations
Master Business Research - No specialisation Year 2 Free Elective(s)
Master Business Research - Operations Research Year 1 Elective Course(s)
Master Business Research - Operations Research Year 2 Elective Course(s)
Master Econometrics and Operations Research - Econometrics Elective Course(s)
Master Econometrics and Operations Research - Mathematical Economics Compulsory Course(s)
Master Econometrics and Operations Research - No specialisation Elective Course(s)
Master Econometrics and Operations Research - Operations Research Elective Course(s)
Master Economic and Financial Research - Econometrics Year 1 Core Course(s)
Master Economic and Financial Research - Econometrics Year 1 Elective Course(s)
Master Economic and Financial Research - No specialisation Year 1 Elective Course(s)
SBE Exchange Master Master Exchange Courses
SBE Non Degree Courses Master Courses