Asset Pricing Theory PhD.

To provide participants with a firm and rigorous knowledge and understanding of asset pricing models of finance. The course covers fundamental concepts, relations, and models but it also outlines some recent trends in the development of asset pricing models. Both discrete-time and continuous-time models are discussed. The course has a theoretical focus, but empirical studies and results are used for the evaluation of the theoretical models: Introduction to multi-period financial modeling including stochastic processes; state-price deflators; preferences of individuals; optimal consumption and investment decisions of individuals; equilibrium in financial markets; basic consumption-based asset pricing; advanced consumption-based asset pricing models; factor models; the economics of the term structure of interest rates; and the theory behind GMM.

Asset Pricing Theory MSc.

This course provides a first principles account of discrete time asset pricing theory. The course begins by discussing how to represent investor preferences. The utility function representation of preferences is then applied to a host of optimal portfolio choice problems in a single period setting. Then stochastic discount factor approach to asset pricing is then introduced which as a special case includes the Capital Asset Pricing Model and Lucas Tree Economy. The empirical validity of such models is explored and resulting asset pricing puzzles discussed. We finish the course by studying asset pricing models that have been designed to address the classic puzzles.

Credit Risk MSc.

The objective of the course is to provide a comprehensive introduction to credit risk. The course covers a series of empirical and theoretical topics including empirical characteristics of corporate and sovereign default risk, structural models, intensity models, credit derivatives and regulation. Topics covered include Introduction to credit risk, Historical default experience of corporate and sovereign debt, Structural models of credit, Strategic Default models of credit risk, Intensity-based models and jump to default risk, Credit Risk Premia and the Credit Spreads Puzzle, Credit derivatives and securitization, Dependent defaults and recovery modelling, Crises and Regulation.

Continuous Time Finance MSc.

Over the last few years, financial analysts have used more and more sophisticated mathematical concepts to describe the behaviour of markets or to derive computing methods. This course provides an introduction to stochastic calculus and shows how it can be applied to the pricing and hedging of financial contracts, such as equity options and interest rate derivatives. The goal is to make students confident with the probabilistic techniques required to understand the most widely used financial models. The course is mainly suitable for students who would like to become quantitative analysts, asset managers, traders, risk managers, structurers, or who are simply generally interested in financial markets and want to gain the technical skills needed to understand and model their behaviour. 

Derivatives MSc.

In recent years there has been considerable growth in markets for derivatives contracts, such as futures, swaps, and options on financial assets. Derivatives are used by individuals and institutions to meet a variety of objectives. Firms and portfolio managers can use derivatives to hedge particular kinds of risk or alter the distribution of the returns on their portfolios in certain ways. Some institutions may use derivatives to speculate. There is a large literature on derivatives valuation. At first the theory might appear advanced and difficult, but it is in fact quite accessible. The purpose of the course is to provide you with the necessary skills to value and to use derivatives instruments in a purposeful way. In order to provide a useful treatment of these topics in an environment that is changing rapidly, it is necessary to stress fundamentals and to explore topics at a technical level.