Utdrag fra kursbeskrivelse

Advances in Asset Pricing Theory

Introduksjon

This course introduces students to recent developments in asset pricing theory. The main purpose is to rigorously study the economic and mathematical aspects of leading asset pricing models.

Topics covered include multi-period consumption or production based asset pricing models with heterogeneous agents, multiple cash-lows, and overlapping generations. Methods used include continuous time methods and Malliavin derivatives.

Kursets innhold

1. The Lucas model in continuous time

2. Various extensions of the consumption-based asset pricing model in continuous time with focus on heterogeneous agent models

3. Habits versus long-run risks

4. Production-based asset pricing

Forbehold

Dette er et utdrag fra den komplette kursbeskrivelsen for kurset. Dersom du er aktiv student på BI, kan du finne de komplette kursbeskrivelsene med informasjon om bl.a. læringsmål, læreprosess, pensum og eksamen på portal.bi.no. Vi tar forbehold om endringer i denne beskrivelsen.