Information System of Masaryk University 

Course Information

DXF_OCAK Asset Pricing

Faculty of Economics and Administration
Spring 2012

Extent and Intensity

24/0. 12 credit(s). Type of Completion: zk (examination).

Teacher(s)

Michal Pakoš, Ph. D (lecturer), doc. Ing. Martin Svoboda, Ph.D. (deputy)
doc. Ing. Martin Svoboda, Ph.D. (lecturer)
Ing. Luděk Benada (assistant)

Supervisor

doc. Ing. Martin Svoboda, Ph.D.
Department of Finance - Faculty of Economics and Administration
Contact Person: Bc. Marta Ordeltová
Dodavatelské pracoviště: Department of Finance - Faculty of Economics and Administration

Timetable

Fri 4. 5. 12:00–17:00 S5, Fri 18. 5. 12:00–17:00 S5, Mon 21. 5. 12:00–17:00 S5, Fri 25. 5. 12:00–17:00 S5

Prerequisites

The course is designed for PhD students who have taken a year of PhD level economics and econometrics. In general, you should have some Ph.D.-level macroeconomics, finance or statistics/econometrics before taking this course. I will use without much fanfare concepts like a representative consumer and dynamic program (macroeconomics); expected returns, betas, and facts about returns like predictability (finance); and basic time series tools like autocorrelations, VAR models, diffusion models

Course Enrollment Limitations

The course is only offered to the students of the study fields the course is directly associated with.

Fields of study the course is directly associated with

there are 10 fields of study the course is directly associated with, display

Course objectives

This course is a survey of asset pricing theory, emphasizing a discount-factor and GMM approach. The discount factor is a unifying framework: p=E(mx) covers everything, stocks, bonds, options, real investments, discrete time, continuous time, asset pricing, portfolio theory, etc.

Syllabus

• 1) CONSUMPTION-BASED ASSET PRICING 2) CAPM, ICAPM, APT, CONDITIONING INFO 3) TERM STRUCTURE OF INTEREST RATES 4) OPTION PRICING

Literature

required literature
• Shreve S. E., Stochastic Calculus for Finance I: The Binomial Asset Pricing Model, Springer
• COCHRANE, John H. Asset pricing. Rev. ed. Princeton: Princeton University Press, 2005. xvii, 533. ISBN 0691121370. info

recommended literature
• Hansen, Lars Peter and Scott F. Richard, 1987, “The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models” Econometrica 55, 587-613.

not specified
• Lucas, Robert E. Jr, 1978, “Asset Prices in An Exchange Economy’’ Econometrica 46, 1429-1455.
• Shreve S. E., Stochastic Calculus for Finance II (recommended), Springer

Teaching methods

lectures

Assessment methods

The grade will be based on max(25% problem sets + 75% exam, 100% exam)

Language in which the course is taught

English

Further Comments

Study Materials
The course can also be completed outside the examination period.

The course is also listed under the following terms Spring 2010, Spring 2011, Spring 2013, Spring 2014.

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• Enrollment Statistics (Spring 2012, recent)
  
• Permalink: https://is.muni.cz/course/econ/spring2012/DXF_OCAK

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