Course Syllabus
Obiettivi
Obiettivi formativi
Al termine del corso lo studente sarà familiare con i principali concetti e modelli di asset pricing
Contenuti sintetici
Modelli di Asset Pricing tradizionali
Valutazione del Rischio
Titoli a reddito fisso
Asset Pricing in Equilibrio Generale
Programma esteso
Math preliminaries and general equilibrium
Overview of Pricing Theories
Choices under risk
Measures of risk aversion and their interpretation
Risk Aversion and Investment Choices
Modern Portfolio Theory
Capital Asset Pricing Model
Arrow-Debreu Equilibrium and the CAPM
CCAPM
Arrow-Debreau Pricing: Arbitrage
Martingale Pricing
Term Structure of Interest Rates
APT and Multifactor Models
Prerequisiti
Maths
Statistics
Inference
Macro
Micro
Modalità didattica
Lezioni e tutorial
Materiale didattico
Lectures slides
www.andreacolciago.com
Book:
Asset Pricing, John Cochrane
Periodo di erogazione dell'insegnamento
October-January
Modalità di verifica del profitto e valutazione
Written examination with numerical exercises
Orario di ricevimento
by appointment
Aims
Familiarize with the main concepts and models of modern finance
Contents
Traditional asset pricing models
Risk
Fixed income assets
Asset pricing in general equilibrium
Detailed program
Math preliminaries and general equilibrium
Overview of Pricing Theories
Choices under risk
Measures of risk aversion and their interpretation
Risk Aversion and Investment Choices
Modern Portfolio Theory
Capital Asset Pricing Model
Arrow-Debreu Equilibrium and the CAPM
CCAPM
Arrow-Debreau Pricing: Arbitrage
Martingale Pricing
Term Structure of Interest Rates
APT and Multifactor Models
Prerequisites
Maths
Statistics
Inference
Macroeconomics
Microeconomics
Teaching form
lectures and tutorials
Textbook and teaching resource
Lectures slides
www.andreacolciago.com
Book:
Asset Pricing, John Cochrane
Semester
1st
Assessment method
Written examination with numerical exercises
Office hours
by appointment