DXF_OCAK Asset Pricing

Faculty of Economics and Administration
Spring 2012
Extent and Intensity
24/0. 12 credit(s). Type of Completion: zk (examination).
Teacher(s)
Michal Pakoš, Ph.D (lecturer), doc. Ing. Martin Svoboda, Ph.D. (deputy)
doc. Ing. Martin Svoboda, Ph.D. (lecturer)
Ing. Luděk Benada, Ph.D. (assistant)
Guaranteed by
doc. Ing. Martin Svoboda, Ph.D.
Department of Finance – Faculty of Economics and Administration
Contact Person: Bc. Marta Ordeltová
Supplier department: Department of Finance – Faculty of Economics and Administration
Timetable
Fri 4. 5. 12:00–17:00 S310, Fri 18. 5. 12:00–17:00 S310, Mon 21. 5. 12:00–17:00 S310, Fri 25. 5. 12:00–17:00 S310
Prerequisites
The course is designed for PhD students who have taken a year of PhD level economics and econometrics. In general, you should have some Ph.D.-level macroeconomics, finance or statistics/econometrics before taking this course. I will use without much fanfare concepts like a representative consumer and dynamic program (macroeconomics); expected returns, betas, and facts about returns like predictability (finance); and basic time series tools like autocorrelations, VAR models, diffusion models
Course Enrolment Limitations
The course is only offered to the students of the study fields the course is directly associated with.
fields of study / plans the course is directly associated with
there are 10 fields of study the course is directly associated with, display
Course objectives
This course is a survey of asset pricing theory, emphasizing a discount-factor and GMM approach. The discount factor is a unifying framework: p=E(mx) covers everything, stocks, bonds, options, real investments, discrete time, continuous time, asset pricing, portfolio theory, etc.
Syllabus
  • 1) CONSUMPTION-BASED ASSET PRICING 2) CAPM, ICAPM, APT, CONDITIONING INFO 3) TERM STRUCTURE OF INTEREST RATES 4) OPTION PRICING
Literature
    required literature
  • Shreve S. E., Stochastic Calculus for Finance I: The Binomial Asset Pricing Model, Springer
  • COCHRANE, John H. Asset pricing. Rev. ed. Princeton: Princeton University Press, 2005, xvii, 533. ISBN 0691121370. info
    recommended literature
  • Hansen, Lars Peter and Scott F. Richard, 1987, “The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models” Econometrica 55, 587-613.
    not specified
  • Lucas, Robert E. Jr, 1978, “Asset Prices in An Exchange Economy’’ Econometrica 46, 1429-1455.
  • Shreve S. E., Stochastic Calculus for Finance II (recommended), Springer
Teaching methods
lectures
Assessment methods
The grade will be based on max(25% problem sets + 75% exam, 100% exam)
Language of instruction
English
Further Comments
Study Materials
The course can also be completed outside the examination period.
The course is also listed under the following terms Spring 2010, Spring 2011, Spring 2013, Spring 2014, Spring 2015, Spring 2016, Spring 2018, Spring 2019, Spring 2020, Spring 2021, Spring 2022, Spring 2023, Spring 2024, Spring 2025.
  • Enrolment Statistics (Spring 2012, recent)
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