Seminar: Asset Prices and Financial Markets (F)

This seminar is intended to give students the opportunity to explore in greater detail and possibly extend some of the models introduced in one of the finance courses offered by the department. Students are expected to write a paper falling within one of the following four categories: Asset Pricing, Portfolio Theory, Pricing of Derivatives(Equity, Fixed Income, Exotics, etc.) or The Term Structure of Interest Rates.
The courses in microeconomics and the courses: Financial Decision Making, Financial Econometrics A and B as well as Advanced Empirical Finance are particularly relevant for students writing within either “Asset Pricing” or “Portfolio Theory”. The courses Financial Econometrics A and B, Advanced Empirical Finance, Financial Theory and Models, and Pricing Financial Assets are particularly relevant to students writing within “Pricing of Derivatives “. Finally, the courses Financial Theory and Models, and Fixed Income Derivatives: Risk Management and Financial Institutions are relevant should students writing within “The Term Structure of Interest Rates and Interest Rate Derivatives”.

The aim of this seminar is to introduce students to a wide range of the most important models and methods used by academics and practitioners alike to describe the behavior of financial markets. In doing so, we will explore some of the most important aspects of finance and discuss how to best model and interpret the behavior of a wide range of financial markets. We will discuss theoretical aspects of these models, how they can be implemented in practice as well as their ability to capture the behavior of markets in practice. During the semester, students will choose a particular topic and/or model and write a paper exploring the details and most important aspects of their choice. Students are free to decide if they wish to pursue a purely theoretical approach or if they also wish to do some empirical analysis using a software and/or programming language of their choice. Students are expected to choose a model falling within one of the following four categories: Asset Pricing, Portfolio Theory, Pricing of Derivatives(Equity, Fixed Income, Exotics, etc.) or The Term Structure of Interest Rates.
During the first two weeks of the semester, students will be given an overview of each of these categories including relevant literature so that students will better be able to choose a particular topic for their paper. Below is a list of the four categories mentioned above including some topics within each category that might be discussed in a seminar paper.