FM503     
Asset Pricing for Research Students

This information is for the 2020/21 session.

Teacher responsible

Dr Georgy Chabakauri CON 1.01, Dr Dong Lou CON 1.01 and Prof Dimitrios Vayanos CON 1.01

Availability

This course is compulsory on the MRes/PhD in Finance. This course is available with permission as an outside option to students on other programmes where regulations permit.

Course content

The course is divided into two parts relating to theoretical and empirical asset pricing. The theoretical half of the course covers dynamic models of frictionless markets, both in discrete and in continuous time, and models with frictions, such as asymmetric information, costs of search and market participation, leverage constraints and delegated asset management. The empirical half of the course is dedicated to an empirical evaluation of asset-pricing models. Representative-agent models (with power, habit and recursive preferences) and their application to the valuation of equities are covered. Next, no-arbitrage term-structure and option-pricing models are discussed. The class concludes with equilibrium and reduced-from models of currencies.

Teaching

30 hours of lectures in the MT. 30 hours of lectures in the LT.

Indicative reading

Assessment

Coursework (30%) and in-class assessment (70%) in the LT.

Coursework includes project and homework. 

Key facts

Department: Finance

Total students 2019/20: 13

Average class size 2019/20: 12

Value: One Unit

Guidelines for interpreting course guide information

Personal development skills

Important information in response to COVID-19

Please note that during 2020/21 academic year some variation to teaching and learning activities may be required to respond to changes in public health advice and/or to account for the situation of students in attendance on campus and those studying online during the early part of the academic year. For assessment, this may involve changes to mode of delivery and/or the format or weighting of assessments. Changes will only be made if required and students will be notified about any changes to teaching or assessment plans at the earliest opportunity.