Seminar: Asset Prices and Financial Markets (F)
Course content
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.
The course is a part of the financial line, signified by (F)
The seminar is primarily for students at the MSc of Economics.
After completing the seminar the student is expected to be able
to fulfill the learning outcome specified in the
Master curriculum and to be able to:
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.
Competences:
- 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.
Students receive individual guidance from the instructor.
Students prepare a draft assignment, which they present to the
teacher and the other students. The students take turns acting as
opponents during each other’s presentations. The feedback should
especially focus on the written presentation in the draft
assignment, with particular emphasis on the
introduction.
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.
Exact dates will be available in the seminar’s course room no
later than 14 days before the start of the semester
• Kick-off meeting: Week 6 / 36. See exact date in Absalon.
• Additional meetings/introductory teaching/guidance: Optional. See
Absalon.
• Deadline for submission of commitment paper/project description:
No later than February 28 / September 30.
• Deadline for uploading seminar paper draft in Absalon: No later
than one week before the presentations. See exact date in Absalon.
• Presentations: In the period November 20 – December 11 for the
autumn semester and May 1 – 23 for the spring semester.
See exact dates in Absalon.
• Common submission date for all seminars: December 20 at 10:00 for
the autumn semester and June 1 at 10:00 for the spring
semester.
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.
For enrolled students: More information about registration, schedule, rules etc. can be found at Master (UK) and Master (DK).
More information about seminars is available at Seminars (UK) and Seminars (DK).
Read about the study programme and curricula at MSc in Economics
- ECTS
- 7,5 ECTS
- Type of assessment
-
Home assignment
- Type of assessment details
- Individual or in groups of up to 3.
A seminar paper of 15 standard pages for one person, 22.5 standard pages for 2 and 30 standard pages for 3 students.
See further exam information in the Masters Programme Curriculum. - Examination prerequisites
-
Attendance in all seminar activities as stated in the Master curriculum.
Reexam: Hand in and have approved a synopsis.
- Aid
- All aids allowed
Use of AI tools is permitted.
Students must fill out and upload a GAI declaration for their answer, regardless of whether GAI has been used or not. Failure to upload a GAI declaration is equated with failure to comply with formal requirements.
If GAI generated material is included as a source (directly or in edited form) in the answer, the same requirements apply to the use of quotation marks and source references as when using all other sources.
- Marking scale
- 7-point grading scale
- Censorship form
- External censorship
- Exam period
-
The seminar paper must be uploaded in Digital Exam.
Common submission date for all seminars: December 20 at 10:00 for the autumn semester and June 1 at 10:00 for the spring semester.
For enrolled students more information about examination, rules, aids etc. is available at the intranet for Master (UK) and Master (DK ).
- Re-exam
-
Individual seminar paper of 15 standard pages. See further exam information in the Masters Programme Curriculum.
Deadline and more information is available at MSc in Economics - KUnet
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.
- 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
- Spring
- Studyboard
- Department of Economics, Study Council
Contracting department
- Department of Economics
Contracting faculty
- Faculty of Social Sciences
Course Coordinator
- Jacob Lundbeck Serup (20-51686a766935537c756b696c6a72355a6c797c77476c6a767535727c356b72)
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