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 |
Level | Master |
Profiles | M.Sc. in Economics and Finance, M.Sc. in Managerial Economics, |
Language | English |
Time and Place | Wednesday 10-14 c.t., room 332 (Mohlstraße 36) |
Exam | written exam |
Credit Points | 9 ECTS |
Start of the lecture | 15-04-2015 |
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.