Dr Ian Martin OLD 3.42, Dr Amil Dasgupta OLD 3.45 and Dr Igor Makarov OLD M3.08

Dr Igor Makarov.

This course is compulsory on the MRes/PhD in Finance (Route 1), MSc in Finance and Economics and MSc in Finance and Economics (Research). This course is not available as an outside option.

Mathematical background at the level of the September Courses in Mathematics and FM458 Financial Economics Preparatory Course is assumed.

A required graduate course for the MSc Finance and Economics programme, on investors' behaviour, market equilibrium, and asset pricing. Will encompass topics in choice under uncertainty, complete and incomplete asset markets, mean-variance portfolio theory, no-arbitrage and equilibrium asset pricing, excess volatility and return predictability, intertemporal asset pricing, Black-Scholes option and other contingent claims pricing models, the term structure of interest rates under uncertainty, and the pricing of interest rate linked and other derivative securities.

40 hours of lectures and 20 hours of seminars in the MT.

15 problem sets in classes.

Will be based on: Teaching notes and journal articles, as well as J H Cochrane, Asset Pricing, Revised Edition, Princeton University Press, 2005.

Exam (100%, duration: 3 hours) in the main exam period.