Econometrics, Statistics and Empirical Economics

S413 Financial Economics

This course is jointly offered by the chairs of Prof. Dr. Joachim Grammig (Econometrics, Statistics and Empirical Economics) and Prof. Dr. Christian Koziol (Finance).

Lecturer

Prof. Dr. Joachim Grammig

Prof. Dr. Christian Koziol

Level1. Year M.Sc.
Profiles

M.Sc. in International Economics and Finance, M.Sc. in Managerial Economics,
M.Sc. in Quantitative Economics,
M.Sc. in International Economics,
M.Sc. in Economics and Finance,
M.Sc. in Accounting and Finance,
M.Sc. in General Management,
M.Sc. in International Economics and American/East Asian/European/Middle Eastern Studies

LanguageEnglish
Time and Place

Wednesday 10 a.m. - 2 p.m.

Examwritten exam
Credit Points6 ECTS
Course Ref. No.S413

Content

The course provides a modern advanced treatment of principles of financial economics. Security prices under no-arbitrage. Introduction to utility theory. Pricing in competitive economies, first-principles derivations of the capital asset pricing model (CAPM). Valuation in a multi-period framework. Consumption-based asset pricing model and the fundamental asset pricing equation. The stochastic discount factor (SDF) and beta-representations. Relation between SDF, betas and the mean-variance frontier. Linear SDF models revisited: aribtrage pricing theory and the intertemporal CAPM.