Studies

Asset Pricing II

Professor(s)

 

Dante Amengual

Objetives

 

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 absence of arbitrage and risk-neutral pricing arguments. To do so, some knowledge of stochastic calculus is needed, so we introduce it. Finally, we look at some applications, specifically, interest rate and credit risk models.

Module / Term

 

Module II: Elective Courses (54 ECTS) / Term 4 (18 ECTS)

Course details

 

UIMP code 101128 / 6 ECTS / Elective

Hours

 

Monday (11:30 - 13:00), Friday 15:00 - 18:30)

Evaluation Criteria

 

Exercises, presentations and exams

Course page

 

https://master.cemfi.es/course/view.php?id=50

   
 
   
Syllabus
Schedule
 

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