Asset Pricing
102687
2023-24
MASTER'S DEGREE IN ECONOMICS AND FINANCE
6
ELECTIVE
Cuatrimestral
English
This course discusses continuous-time asset pricing theory and continuous-time
derivative pricing models. Intuitively, we relate some asset returns to other
asset returns (derivative assets), appealing to the absence of arbitrage and
risk-neutral pricing arguments. To do so, some knowledge of stochastic
calculus is needed, so we introduce it. We then look at some applications,
specifically, interest rate and credit risk models. Finally, we conclude with
an introduction to stochastic optimization in continuous time.
G1 - Demonstrate solid knowledge of economic theory, and the relevant
economic, econometric and computational techniques.
G2 - Know how to apply the knowledge acquired and be able to use
problem-solving abilities in new or relatively unknown settings within wider
or multidisciplinary contexts related to economics and finance.
G3 - Integrate knowledge and tackle the complexity involved with making
judgements based on incomplete or limited information, and which includes
reflections on the social and ethical responsibilities tied to the application
of one's knowledge and judgement.
G4 - Critically analyse, assess and summarise new and complex ideas
related to empirical theories and methodologies in the field of economics.
G5 - Design and carry out an advanced academic research project,
formulating reasonable hypotheses in the field of economics.
G6 - Give clear and unambiguous oral presentations of scientific and
technical work on economics to specialised and non-specialised audiences.
G7 - Produce suitable written compositions, as well as work projects or
scientific articles.
G8 - Organise and plan one’s own work, fostering initiative and an
entrepreneurial spirit.
G9 - Become part of work groups dedicated to economic research projects.
G10 - Demonstrate sufficient independence, and study and summary skills
so that after the master’s programme, students are able to undertake a PhD in
the field of economics.
EO1 - Be aware of the theory of the firm and the main industrial economics
models, as well as their main applications.
EO2 - Be aware of the main job market models and available empirical
evidence.
EO3 - Master the analytical tools explained on the course in industrial
economics, in order to analyse market failures and the corresponding
competition regulation and promotion policies.
EO4 - Be aware of the main models and empirical evidence about economic
development, specifically with regard to agriculture, and market and
institutional failures.
EO5 - Be aware of the theory of optimal taxation, and empirical models
and results regarding the effects of taxation on how households and businesses
behave, as well as public spending theory and welfare programmes.
EO6 - Be aware of the economic theory on how land and housing markets,
local governmental and territorial development operate.
EO7 - Be aware of advanced theories and models on modern macroeconomics.
EO8 - Be aware of the main open economy models, specifically relating to
the interaction between fiscal and monetary policies, and exchange rate policy.
EO9 - Be familiar with the main macroeconomic phenomena, how they are
measured through national and international statistical resources, and
forecasting through advanced statistical techniques.
EO10 - Use modern macroeconomic quantitative techniques to assess the
impact of different economic policies on the principal macroeconomic
aggregates, and income and wealth distribution.
EO11 - Be aware of modern applied econometric methods, specifically
autoregressive and dynamic general equilibrium models, with a particular focus
on Bayesian econometric models.
EO12 - Be aware of the appropriate econometric models to describe and
forecast different economic time series, as well as analyse the relationships
between them suggested by economic theory.
EO13 - Be aware of the suitable econometric techniques to model
behaviour of individual economic agents at theoretical and applied level, with
a view to understanding the interaction between models, data and methods.
EO14 - Possess knowledge regarding the interaction between theoretical
models, data and econometric methods outlined by applied work, analysing
representative articles on different ways to approach empirical work in micro-
and macroeconomics.
EO15 - Possess in-depth knowledge on the methods used in estimating
models for financial markets.
EO16 - Be aware of the main risk assessment models and their use in
different financial instruments.
EO17 - Master advanced asset valuation models for both fixed income and
equity, and derivatives, with a particular focus on methods based on arbitrage
valuation, stochastic calculus and changing probability measures.
EO18 - Be familiar with analysing business finance decisions and other
aspects of their relationship with capital markets, especially information
problem-based theories.
EO19 - Be aware of the most characteristic features of micro- and
macroeconomics, and the operation and regulation of banking activities from a
perspective of modern financial intermediation theories.
EO20 - Master interest rate and exchange rate risk analysis, and well as
those risks arising from an equity portfolio, using derivative assets for
hedging.
Type of activity
Hours
%In person
Theory classes
100
Practical classes
100
Study of the theory content of the course
0
Solve practical exercises
0
Prepare class presentations
40
Theory classes
Exercises
Essay writing
Class discussion on work submitted by students
-Be aware of the theory of the firm and the main industrial economics models,
as well as their main applications.
-Be aware of the main job market models and available empirical evidence.
-Master the analytical tools explained on the course in industrial
economics, in order to analyse market failures and the corresponding
competition regulation and promotion policies.
-Be aware of the main models and empirical evidence about economic
development, specifically with regard to agriculture, and market and
institutional failures.
-Be aware of the theory of optimal taxation, and empirical models and
results regarding the effects of taxation on how households and businesses
behave, as well as public spending theory and welfare programmes.
-Be aware of the economic theory on how land and housing markets, local
governmental and territorial development operate.
-Be aware of advanced theories and models on modern macroeconomics.
-Be aware of the main open economy models, specifically relating to the
interaction between fiscal and monetary policies, and exchange rate policy.
-Be familiar with the main macroeconomic phenomena, how they are
measured through national and international statistical resources, and
forecasting through advanced statistical techniques.
-Use modern macroeconomic quantitative techniques to assess the impact
of different economic policies on the principal macroeconomic aggregates, and
income and wealth distribution.
-Be aware of modern applied econometric methods, specifically
autoregressive and dynamic general equilibrium models, with a particular focus
on Bayesian econometric models.
-Be aware of the appropriate econometric models to describe and forecast
different economic time series, as well as analyse the relationships between
them suggested by economic theory.
-Be aware of the suitable econometric techniques to model behaviour of
individual economic agents at theoretical and applied level, with a view to
understanding the interaction between models, data and methods.
-Possess knowledge regarding the interaction between theoretical models,
data and econometric methods outlined by applied work, analysing
representative articles on different ways to approach empirical work in micro-
and macroeconomics.
-Possess in-depth knowledge on the methods used in estimating models for
financial markets.
-Be aware of the appropriate econometric models to describe and forecast
different economic time series, as well as analyse the relationships between
them suggested by economic theory.
-Master advanced asset valuation models for both fixed income and
equity, and derivatives, with a particular focus on methods based on arbitrage
valuation, stochastic calculus and changing probability measures.
-Be familiar with analysing business finance decisions and other aspects
of their relationship with capital markets, especially information
problem-based theories.
-Be aware of the most characteristic features of micro- and
macroeconomics, and the operation and regulation of banking activities from a
perspective of modern financial intermediation theories.
-Master interest rate and exchange rate risk analysis, and well as those
risks arising from an equity portfolio, using derivative assets for hedging.
Type
Minimum score
Maximum score
Exercises
0.05
0.3
Presentations
0.05
0.15
Exams
0.7
0.95
Porfessor responsible for the subject
This document can be used as reference documentation of this subject for the application for recognition of credits in other study programmes. For its full effect, it should be stamped by UIMP Student's Office.
Description undefined
Cuatrimestral
ECTS Credits: 6
Amengual Báez, Dante
Doctor en Economía, Princeton University
Profesor de Economía
Centro de Estudios Monetarios y Financieros (CEMFI)
Teacher responsible for the subject