Seminar: Asset Prices and Financial Markets (F)

Course content

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.

Learning outcome

After completing the seminar the student is expected to be able to fulfil the learning outcome specified in the Master curriculum (voluntarily:) and to be able to cf. Ministry guidelines (link):

After attending the seminar, writing a seminar paper and presenting it to fellow students, participants are expected to have acquired the following knowledge, skills and competencies:

Knowledge
 - Acquire a broad understanding of the four topics of this seminar as well as the most       important results within each of these.
- Know some of the most important models in finance including their underlying assumptions, uses and shortcomings.
- Have extensive knowledge about a specific model including its relevance and place within the broader literature on the subject.

Skills
- Be able to understand, analyze and use a model within the literature on models used in finance.

- Critically assess the strengths and weaknesses of a particular model.
- Be able to structure a paper on a difficult topic.
- In writing and verbally present an advanced model clearly and concisely.

Competencies

- Asses the importance of the strengths and weaknesses of a model and how these affect the models use and applicability in practice.
- Be able to use your skills to provide useful and relevant feedback.
- Be able to use advice and critique to improve the quality of your work.

 

Supplemented by an overall intended learning outcome outlined in the programme-specific curriculum

Asset Pricing:
Semmler, W. (2011). Asset Prices, Booms and Recessions, Chapter 9: Static Portfolio Theory: CAPM and Extensions. Springer
Cochrane, J. (2005). Asset Pricing: Revised Edition. Princeton University Press.
Ang A. and Bekaert, G. (2007). Stock Return Predictability: Is it There? Review of Financial Studies, Vol20, No 3. 651-707.

Portfolio Theory
Campbel J. Y. and Luis M. Viceira (1999). Consumption and Portfolio Decisions When Expected Returns are Time-Varying. The Quarterly Journal of Economics 114, 2. 433-495Bjork, T. (2019). Arbitrage Theory in Continuous Time, Chapter 19. Oxford University Press.

Derivatives Pricing
Jäckel, P. (2004). Stochastic Volatility Models: Past, Present and Future. Wharton School of the University of Pennsylvania.
Dupire, B. (1994). Pricing with a Smile. Risk, Vol 7, No 1, pp 18-20
Breeden, D. T, and Litzengerger, R. H. (1978). Prices of State-Contingent Claims in Option Prices. The Journal of Business, Vol 51, No 4, pp 621-653.
Korn, R. (2010). Recent Developments in Applied Probability and Statistics, Chapter 9: Binomial Trees in Option Pricing. pp 59-77.
Glasserman, P. (2003). Monte Carlo Methods in Financial Engineering, 3. edition. Springer.

Term Structure of Interest Rates and interest rate derivatives
Bjork, T. (2019). Arbitrage Theory in Continuous Time, Chapters 20-25. Oxford University Press.

Students are expected to have a basic understanding of portfolio theory and pricing of financial assets for example from the course Financial Decision Making (Corporate Finance and Incentives). In addition, it is recommended that students either have taken or will take concurrently with this seminar one or more of the following courses: Financial Econometrics A, Advanced Empirical Finance, Financial Theory and Models, Fixed Income Derivatives, or Pricing Financial Assets.

- Kick-off meeting:
Fall 2024: Week 36, Tuesday Sept. 5 17.15-19 and Thursday Sept. 7 17.15-19
Spring 2025: Week 6, Tuesday Feb. 6 17.15-19 and Thursday Feb. 8 17.15-19
- Extra meetings / introductory teaching / guidance:
Students are expected to meet with the teach at least once before submitting the
commitment paper
- Deadline for submission of commitment paper
Fall 2024: October 1.
Spring 2025: March 1.
- Deadline for uploading a seminar assignment paper in Absalon:
No later than one week before the presentations.
- Presentations
Fall 2024: In the time period November 20. to December 11. Exact time decided at the
Kick-off Meeting.
Spring 2025: In the time period May 1. to May 23. Exact time decided at the Kick-off
Meeting.
- Exam date:
Fall 2024: December 20. at 10.00 AM - latest uploading of Seminar paper to the Digital
Exam portal for assessment.
Spring 2025: June 3. at 10.00 AM - latest uploading of Seminar paper to the Digital Exam
portal for assessment.

Written
Oral
Individual
Collective
Continuous feedback during the course of the semester
Feedback by final exam (In addition to the grade)
Peer feedback (Students give each other feedback)

Feedback will be a substantial part of this seminar and will be given throughout the semester. Students are encouraged to ask questions whenever needed and provide regular updates of their progress with the paper.

ECTS
7,5 ECTS
Type of assessment
Written assignment
Aid

Use of AI tools is permitted. You must explain how you have used the tools. When text is solely or mainly generated by an AI tool, the tool used must be quoted as a source.

Marking scale
7-point grading scale
Censorship form
External censorship
Exam period

Deadline for submitting the final seminar paper: December 20 2024 before 10/June 3, 2025 before 10 AM

The seminar paper must be uploaded to the Digital Exam portal. More information will be available from the middle of the semester.

For enrolled students more information about examination, rules, aids etc. is available at the intranet for  Master (UK) and  Master (DK).

Examination Dates can be found  here (latest uploading of Seminar paper to the Digital Exam portal for assessment.)

Re-exam

Reexam information:

The reexam form in seminars is a seminar paper with a synopsis

 

Deadline and more information is available at  Seminars(UK) and  Seminars(DK).

More information about reexam etc is available at  Master(UK) and  Master(DK).

Criteria for exam assessment

Students are assessed on the extent to which they master the learning outcome for the seminar and can make use of the knowledge, skills and competencies listed in the learning outcomes in the  Curriculum of the Master programme.

 

To receive the top grade, the student must with no or only a few minor weaknesses be able to demonstrate an excellent performance displaying a high level of command of all aspects of the relevant material.

  • Category
  • Hours
  • Project work
  • 186
  • Seminar
  • 20
  • English
  • 206

Kursusinformation

Language
English
Course number
AØKK08436U
ECTS
7,5 ECTS
Programme level
Full Degree Master
Duration

1 semester

Placement
Autumn And Spring
Capacity
20
Studyboard
Department of Economics, Study Council
Contracting department
  • Department of Economics
Contracting faculty
  • Faculty of Social Sciences
Course Coordinator
  • Jacob Lundbeck Serup   (20-5a71737f723e5c857e747275737b3e63758285805075737f7e3e7b853e747b)
Saved on the 16-05-2024

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