Excerpt from course description

Advances in Asset Pricing Theory

Introduction

This course introduces students to recent developments in asset pricing theory. The main purpose is to rigorously study the economic and mathematical aspects of leading asset pricing models.

Topics covered include multi-period consumption or production based asset pricing models with heterogeneous agents, multiple cash-lows, and overlapping generations. Methods used include continuous time methods and Malliavin derivatives.

Course content

1. The Lucas model in continuous time

2. Various extensions of the consumption-based asset pricing model in continuous time with focus on heterogeneous agent models

3. Habits versus long-run risks

4. Production-based asset pricing

Disclaimer

This is an excerpt from the complete course description for the course. If you are an active student at BI, you can find the complete course descriptions with information on eg. learning goals, learning process, curriculum and exam at portal.bi.no. We reserve the right to make changes to this description.