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Unit of study_
FINC6005: Advanced Asset Pricing
This unit covers the fundamentals of asset pricing and valuation, under equilibrium conditions and under no-arbitrage restrictions. It reviews the main themes in modern asset pricing, and introduce ideas of importance to the evolution of the discipline, and consequently of relevance to a practitioner's long term perspective. The unit emphasises quantitative methods, so students are required to have fairly strong mathematical skills. Nevertheless, the mathematical tools needed in the unit are adequately reviewed.
| Code | FINC6005 |
|---|---|
| Academic unit | Finance |
| Credit points | 6 |
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Prerequisites:
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FINC5001 or FINC6000 |
|---|---|
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Corequisites:
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None |
| Prohibitions:
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None |
At the completion of this unit, you should be able to:
- LO1. explain and demonstrate mathematically the theory of the utility, equilibrium and arbitrage-free based approaches to asset pricing
- LO2. explain and be able to derive modern portfolio theory and CAPM results
- LO3. explain and demonstrate mathematically arbitrage theorems as they relate to asset pricing
- LO4. describe the process of and show mathematically how to value options and other derivatives via the Black-Scholes and binomial methodology
- LO5. use mathematics to model financial phenomena in non-standard scenarios
- LO6. analyse critically the strengths and weaknesses of various asset pricing models and explain how they could be used/misused in practice.
Unit outlines
Unit outlines will be available 2 weeks before the first day of teaching for the relevant session.
There are no unit outlines available online for the current year.
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