The aim of this course is to develop students knowledge on more technical aspects of modern theory of asset pricing, portfolio theory, and derivatives pricing. It is a follow-up for Asset Pricing I. We will cover stochastic calculus and its implication in finance, and financial market frictions.
We will introduce students to the modern advance theory of asset pricing and portfolio theory and its application. We will also cover financial market imperfections and its implication in asset pricing. Students will learn how to price derivatives using modern financial language.
- A good understanding of stochastic calculus and Wiener process
- Fluency in applying various methods in pricing derivatives
- A basic knowledge of complete markets and equilibrium asset pricing
- Well understanding of potential financial market frictions and their implication on asset prices
Unseen examination (2 hours) 80% Group coursework 20%
Current students should refer to Moodle for specific details of the current year’s assessment.