DRE 4021 Advances in Asset Pricing Theory

DRE 4021 Advances in Asset Pricing Theory

Course code: 
DRE 4021
Department: 
Finance
Credits: 
6
Course coordinator: 
Paul Ehling
Course name in Norwegian: 
Advances in Asset Pricing Theory
Product category: 
PhD
Portfolio: 
PhD Finance courses
Semester: 
2021 Autumn
Active status: 
Active
Level of study: 
PhD
Teaching language: 
English
Course type: 
One semester
Introduction

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.

Learning outcomes - Knowledge

By the end of the course the students are expected to know how to:

  • solve leading asset pricing models
  • evaluate asset pricing models
Learning outcomes - Skills

By the end of the course the students are expected to be able to:

  • master continuous time methods to solve equilibrium models
  • master Malliavin derivatives to solve equilibrium models
General Competence

The students are expected to be able to reflect on the workings and limitations of asset pricing theory.

Course content

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

Teaching and learning activities

Model derivations, evaluations, and critical assessment; student presentations

Software tools
No specified computer-based tools are required.
Qualifications

Enrollment in a PhD Programme is a general requirement for participation in PhD courses at BI Norwegian Business School.
External candidates are kindly asked to attach confirmation of enrollment in a PhD programme when signing up for a course. Other candidates may be allowed to sit in on courses by approval of the courseleader. Sitting in on a course does not permit registration for the course, handing in exams or gaining credits for the course. Course certificates or confirmation letters will not be issued for sitting in on courses.

Covid-19

Due to the Covid-19 pandemic, there may be deviations in teaching and learning activities as well as exams, compared with what is described in this course description.

Teaching 

Information about what is taught on campus and other digital forms will be presented with the lecture plan before the start of the course each semester.

Exam categoryWeightInvigilationDurationSupport materialsGroupingComment exam
Exam category:
Submission
Form of assessment:
Written submission
Exam code:
DRE 40211
Grading scale:
Point scale
Grading rules:
Internal and external examiner
Resit:
All components must, as a main rule, be retaken during next scheduled course
50No1 Week(s)Individual Take home exam
Exam category:
Submission
Form of assessment:
Written submission
Exam code:
DRE 40211
Grading scale:
Point scale
Grading rules:
Internal examiner
Resit:
All components must, as a main rule, be retaken during next scheduled course
50Yes3 Hour(s)
  • BI-approved exam calculator
  • Simple calculator
Individual
Exams:
Exam category:Submission
Form of assessment:Written submission
Weight:50
Invigilation:No
Grouping (size):Individual
Support materials:
Duration:1 Week(s)
Comment:Take home exam
Exam code:DRE 40211
Grading scale:Point scale
Resit:All components must, as a main rule, be retaken during next scheduled course
Exam category:Submission
Form of assessment:Written submission
Weight:50
Invigilation:Yes
Grouping (size):Individual
Support materials:
  • BI-approved exam calculator
  • Simple calculator
Duration:3 Hour(s)
Comment:
Exam code:DRE 40211
Grading scale:Point scale
Resit:All components must, as a main rule, be retaken during next scheduled course
Type of Assessment: 
Continuous assessment
Grading scale: 
Pass/fail
Total weight: 
100
Student workload
ActivityDurationComment
Teaching
30 Hour(s)
Group work / Assignments
50 Hour(s)
Group work / assignments, specified learning activities (including reading)
Student's own work with learning resources
100 Hour(s)
Sum workload: 
180

A course of 1 ECTS credit corresponds to a workload of 26-30 hours. Therefore a course of 6 ECTS credits corresponds to a workload of at least 160 hours.