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Course: 2018/2019

Dynamic Asset Pricing

(17175)

Master in Business and Finance (Plan: 362 - Estudio: 69)

EPE

Coordinating teacher: SERRANO JIMENEZ, PEDRO JOSE

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 - Empirical analysis of the most relevant asset pricing models in the financial literature

Description of contents: programme

-Stochastic discount factor and pricing equation -Consumption asset pricing model and the puzzle of the risk premium -Empirical evidence of pricing models -Pricing models with habit preferences -Continuous time pricing: Ito's lemma and the Girsanov theorem -Stochastic differential equations and the Black-Scholes model -Derivative pricing. Applications.

Learning activities and methodology

Individual meetings with students for advising purposes

Assessment System

First call:
60% - Final exam
40% - Individual and group assigments

Second call:
Best of these two options:
Option A:
60% - Final exam
40% - Individual and group assigments

Option B:
100% - Final exam

% end-of-term-examination 60
% of continuous assessment (assigments, laboratory, practicals...) 40

Basic Bibliography

John H. Cochrane. Asset Pricing (revised edition). Princeton University Press. 2005

Additional Bibliography

Hamilton, J.D.. Time series analysis. Princeton University Press. 1994

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