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Course module: 350932-B-6
350932-B-6
Introduction Asset Pricing
Course info
Course module350932-B-6
Credits (ECTS)6
CategoryBA (Bachelor)
Course typeCourse
Language of instructionEnglish
Offered byTilburg University; Tilburg School of Economics and Management; TiSEM: Econometrics and OR; Econometrics & Operations;
Is part of
B Econometrics and Operations Research
Contact personprof. dr. B. Melenberg
Lecturer(s)
Lecturer
prof. dr. B. Melenberg
Other course modules lecturer
Lecturer
dr. N.F.F. Schweizer
Other course modules lecturer
Starting block
SM 2
Course mode
Full-time
Remarks-
Registration openfrom 10/01/2019 up to and including 31/07/2019
Aims

The course consists of a theoretical part and an empirical part. In the theoretical part, students achieve an understanding of the role of financial contracts as instruments of the redistribution of risk, and of the main principles on which the pricing of such contracts is based. After finishing the econometrics part of the course, students will have a basic overview of empirical applications in Finance, both in terms of field of applications as well as in terms of econometric models and techniques used in these applications.

Required Prerequisites

Calculus, probability and statistics, linear algebra, Matlab

Recommended Prerequisites

Linear Algebra, Mathematical Analysis 2, Microeconomics for EOR, Introduction Finance and Actuarial Science, Introduction Econometrics, Statistics for Econometrics, Probability and Statistics
Content

The theoretical part of the course provides an introduction to mathematical finance. The following topics are covered: portfolio optimization in a single-period setting; equilibrium pricing; the notion of arbitrage; option pricing by arbitrage; binomial trees; multiperiod portfolio optimization. In the econometrics part, students will become familiar with econometric models and estimation and testing techniques, such as linear regression in combination with OLS, also in a time series context, and the generalized method of moments (GMM). These topics will be illustrated by finance applications, such as stylized facts on asset returns, predictability of asset returns, the CAPM and its multi-factor extensions, and the equity premium puzzle. Participants are expected to have taken introductory courses in mathematical analysis (calculus and optimization under constraints), probability and statistics, and linear algebra. The Matlab programming language is used in exercises and assignments.

Type of instructions

lectures, tutorials, computer classes

Type of exams

assignments (20%), written exam (80%)

Compulsory Reading
  1. J.M. Schumacher, Lecture notes Introduction to Mathematical Finance
Course available for exchange students
Conditions of admission apply
Timetable information
350932-B-6|Introduction Asset Pricing
Written test opportunities
Omschrijving/DescriptionToets/TestBlok/BlockGelegenheid/OpportunityDatum/Date
Schriftelijk / WrittenEXAM_01SM 2209-07-2019
Written test opportunities (HIST)
Omschrijving/DescriptionToets/TestBlok/BlockGelegenheid/OpportunityDatum/Date
Schriftelijk / WrittenEXAM_01SM 2111-06-2019
Required materials
Literature
J.M. Schumacher, Lecture notes Introduction to Mathematical Finance
Recommended materials
-
Tests
Assignment

Written

Final grade

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Kies de Nederlandse taal