Please note the prerequisites for this course at the bottom of the course description.|
This course covers the fundamentals of asset pricing in discrete and continuous time. We start off with consumption based asset pricing where we develop the concepts of stochastic discount factors/ marginal rate of substitution, no arbitrage, and risk sharing in contingent claim markets. The course proceeds with discussing market efficiency in connection with linear factor models such as CAPM and Fama-French and then proceeds to option pricing using Black Scholes. In addition, the mathematical tools and programming language are necessary to understand the material will be covered.
Understand, apply and critically evaluate various theoretical and applied approaches towards asset pricing.
Lectures and Seminars (review sessions).
• Final Exam (35%, individual);
• Midterm Exam (35%, individual);
• Case and exercises (30%)
Sufficient pre-knowledge in "probability and statistics", "basic investment and finance", "mathematics" and programming are required.
Indication of the required level: 1- Probability and Statistics for Finance, by Svetlozar T. Rachev; 2- Investments Global Edition, by Bodie, Kane, and Marcus.
In case online access is required for this course and you are not in the position to buy the access code, you are advised to contact the course coordinator for an alternative solution. Please note that access codes are not re-usable meaning that codes from second hand books do not work, as well as access codes from books with a different ISBN number. Separate or spare codes are usually not available.