DRE 4021 Advances in Asset Pricing Theory
DRE 4021 Advances in Asset Pricing Theory
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.
By the end of the course the students are expected to know how to:
- solve leading asset pricing models
- evaluate asset pricing models
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
The students are expected to be able to reflect on the workings and limitations of asset pricing theory.
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 with heterogeneous agent
4. Asset pricing with heterogeneous overlappping generations
Model derivations, evaluations, and critical assessment
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.
Disclaimer
Deviations in teaching and exams may occur if external conditions or unforeseen events call for this.
| Assessments |
|---|
Exam category: Submission Form of assessment: Submission PDF Exam/hand-in semester: First Semester Weight: 40 Grouping: Individual Duration: 1 Week(s) Comment: Take home exam Exam code: DRE 40212 Grading scale: ECTS Resit: Examination when next scheduled course |
Exam category: School Exam Form of assessment: Written School Exam - pen and paper Exam/hand-in semester: First Semester Weight: 60 Grouping: Individual Support materials:
Duration: 3 Hour(s) Exam code: DRE 40213 Grading scale: ECTS Resit: Examination when next scheduled course |
All exams must be passed to get a grade in this course.
| Activity | Duration | Comment |
|---|---|---|
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) |
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.