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Capital Market Theory-F-

This course is based on the Stochastic Discount Factor (SDF) approach, from which different one period and continuous time capital market models will be derived. The course lays the foundations of WHU's Master in Finance and entails comparatively advanced quantitative methods. Students attending the course should be interested in continuous time finance, stochastic calculus, and mathematical proofs. Each of the steps will be carefully developed and illustrated by applications. Moreover, talks by selected practitioners will shift the rigorous development of financial models into relevant practical applications. The basic textbook for the course will be Cochrane (2005), which requires a considerable amount of quantitative ability and interest on the student's side. All models, including contingent claims models and also inter-temporal models, can be derived out of the Euler equation by the SDF approach.
Kurs ID
Art des Kurses
MSc Kurs
HS 2019
Prof. Dr. Markus Rudolf
Bitte beachten Sie, dass AustauschstudentInnen im BSc-Programm der WHU eine höhere Anzahl an Credits erwerben als hier aufgeführt. Für weitere Informationen wenden Sie sich bitte direkt an das [International Relations Office].
The preliminary agenda includes the following topics:
I. Neoclassical Capital Market Models
II. Stochastic Discount Factor Approach
III. Arbitrage Pricing Theory
IV. State Preference Theory
V. Derivatives
VI. Option Pricing
VII. Behavioral Finance
Date Time
Monday, 02.09.2019 08:00 - 11:15
Wednesday, 04.09.2019 08:00 - 11:15
Monday, 09.09.2019 13:45 - 17:00
Monday, 16.09.2019 08:00 - 11:15
Wednesday, 18.09.2019 17:00 - 18:30
Monday, 30.09.2019 08:00 - 11:15
Monday, 14.10.2019 08:00 - 11:15
Tuesday, 15.10.2019 08:00 - 11:15
Wednesday, 23.10.2019 09:45 - 11:15
Stochastic Discount Factor Approch, Stochastic Calculus
John Cochrane (2005) 'Asset Pricing' and others, selected key chapters will be provided as digital copies
Interactive teaching
Assignment with tutorial session
Assignment (20%) and Exam (80%)
Foundations of Finance
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