Checking date: 17/05/2022

Versión en español

Course: 2024/2025

Dynamic Asset Pricing
(17175)
Master in Business and Finance (Plan: 362 - Estudio: 69)
EPE


Coordinating teacher: KARALAS , GEORGIOS

Department assigned to the subject: Business Administration Department

Type: Electives
ECTS Credits: 5.0 ECTS

Course: 1º
Semester: 2º



Requirements (Subjects that are assumed to be known)
Financial Economics, Quantitative Methods I & II
Objectives
- To know the main approaches for pricing assets (with emphasis to dynamic models) - To know the main estimation techniques for asset pricing models - To become familiar with the main asset pricing research questions through the examination of the related literature
Skills and learning outcomes
Link to document

Description of contents: programme
- The fundamental theory of asset pricing, state prices, state-price density and equivalent martingale measure - Dynamically complete markets and arbitrage pricing - Derivative pricing - Principles of portfolio choice (martingale approach and dynamic programming approach - Contingent claims and security markets equilibrium (consumption CAPM and intertemporal CAPM) - Generalized Methods of Moments (GMM) estimation technique - Asset pricing regression techniques (time-series, cross-sectional) - Empirical evaluation of asset pricing factor models
Learning activities and methodology
This course includes 1.- Theoretical classes, where the different concepts are explained and discussed 2.- Exercise sets, for which feedback is provided (including empirical estimation of asset pricing models)
Assessment System
  • % end-of-term-examination 70
  • % of continuous assessment (assigments, laboratory, practicals...) 30

Calendar of Continuous assessment


Basic Bibliography
  • Darrell Duffie. Dynamic Asset Pricing Theory: Third Edition. Princeton University Press. 2001
  • John H. Cochrane. Asset Pricing (revised edition). Princeton University Press. 2005
Additional Bibliography
  • John Y. Campbell, Andrew W. Lo and A. Craig MacKinlay. The Econometrics of Financial Markets . Princeton University Press. 1996
  • Mitchell A. Petersen. Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches. The Review of Financial Studies. 2009

The course syllabus may change due academic events or other reasons.