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, M.Sc. in Economics, M.Sc. in International Economics, M.Sc. in International Business, M.Sc. in Accounting and Finance, M.Sc. in General Management, M.Sc. in European 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.
