FM503
Asset Pricing for Research Students
This information is for the 2017/18 session.
Teacher responsible
Dr Georgy Chabakauri, Prof Ian Martin and Dr Dong Lou
Availability
This course is compulsory on the MRes/PhD in Finance (Route 1) and MRes/PhD in Finance (Route 2). This course is available on the MPhil/PhD in Accounting and MRes/PhD in Economics. 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 asset pricing theory empirical asset pricing. The asset pricing theory half of the course will cover static models of frictionless markets, dynamic discrete-time models, dynamic continuous-time models, and models with frictions. The second half of the course is dedicated to empirical evaluation of asset-pricing models. Representative agent models (with power, habit and recursive preferences) and their application to valuation of equities are covered. Next, no-arbitrage term-structure and option-pricing models are discussed. The class concludes with both equilibrium and reduced-from models of currencies.
Teaching
30 hours of lectures in the MT. 30 hours of lectures in the LT.
Indicative reading
• Darrell Duffie Asset Pricing Theory, Princeton University Press
• 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 Cochrane, 2004, Asset Pricing, Princeton University Press
• Kenneth Singleton, 2006, Empirical Dynamic Asset pricing, Princeton University Press
Assessment
Exam (90%, duration: 3 hours) in the main exam period.
Project (10%) in the LT.
Key facts
Department: Finance
Total students 2016/17: 10
Average class size 2016/17: 10
Value: One Unit
Personal development skills
- Application of numeracy skills
- Specialist skills
Course survey results
(2013/14 - 2015/16 combined)
1 = "best" score, 5 = "worst" scoreThe scores below are average responses.
Response rate: 100%
Question |
Average | ||||||
---|---|---|---|---|---|---|---|
Reading list (Q2.1) |
1.8 | ||||||
Materials (Q2.3) |
2 | ||||||
Course satisfied (Q2.4) |
1.6 | ||||||
Lectures (Q2.5) |
1.6 | ||||||
Integration (Q2.6) |
2.2 | ||||||
Contact (Q2.7) |
2 | ||||||
Feedback (Q2.8) |
2.3 | ||||||
Recommend (Q2.9) |
|