Asset Pricing for Research Students
This information is for the 2021/22 session.
Prof Dimitri Vayanos, Prof Ian Martin, Dr Dong Lou, Dr Michela Verardo, Dr Cameron Peng, Dr Thummim Cho.
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.
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.
30 hours of lectures in the MT. 30 hours of lectures in the LT.
• John Campbell, 1999, Asset prices, consumption, and the business cycle, in J. B. Taylor and M. Woodford, Eds., Handbook of Macroeconomics, Volume 1C, Elsevier Science B.V
• John Campbell, 2017, Financial Decisions and Markets: A Course in Asset Pricing, Princeton University Press
• John Cochrane, 2004, Asset Pricing, Princeton University Press
• David Kreps, 2020, The Black-Scholes-Merton Model as an Idealization of Discrete-Time Economies, Econometric Society Monograph, Cambridge University Press.
• Andrei Shleifer, 2000, Inefficient Markets: An Introduction to Behavioral Finance, Clarendon Lectures in Economics, Oxford University Press.
• Kenneth Singleton, 2006, Empirical Dynamic Asset pricing, Princeton University Press
Coursework (30%) in the LT.
In-class assessment (70%) in the ST.
Coursework includes project and homework.
Course selection videos
Some departments have produced short videos to introduce their courses. Please refer to the course selection videos index page for further information.
Important information in response to COVID-19
Please note that during 2021/22 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 differing needs of students in attendance on campus and those who might be studying online. For example, this may involve changes to the mode of teaching 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.
Total students 2020/21: 11
Average class size 2020/21: 11
Value: One Unit
Personal development skills
- Application of numeracy skills
- Specialist skills