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73133-01 - Kolloquium: Advanced Asset Pricing II (3 KP)

Semester Herbstsemester 2024
Angebotsmuster Jedes Herbstsemester
Dozierende Yvan Lengwiler (yvan.lengwiler@unibas.ch, BeurteilerIn)
Inhalt The aim is to introduce you to fundamental theories of asset pricing. In the first part, we will study asset pricing as a general equilibrium phenomenon. We will quickly review von Neumann-Morgenstern utility theory, and then compute the general equilibrium of an economy and study its properties. In particular, this will reveal how some risk can be diversified away while other risk cannot. We will then derive state prices (or equivalently, risk-neutral densities) from the equilibrium marginal rates of substitution. This is what is knows as the consumption-based capital asset pricing theory, or C-CAPM.

After that, I will propose a set of papers for you to work on. You can also propose to discuss some other paper if something else fancies your interest. You will study a paper in detail and make something akin to an extended "referee report." In the last two weeks, you will have the opportunity to present your work to the class.
Lernziele Prepare you to do academic research in asset pricing.
Literatur TBD
Bemerkungen The course will take place in the second half of the semester, on Thursdays from Oct 31 to Dec 12, in the time span of 2:15 to 6:00 pm. All courses take place at the University of Basel. There is no online access.

 

Teilnahmevoraussetzungen Required: Micro and Macro

You should have a solid understanding of mainstream Micro- and Macroeconomics. Terms like "expected utility maximization" or "general equilibrium" should not be foreign to you. Ideally, you have passed
* 65937 Advanced Microeconomics
* 65943 Advances Macroeconomics
or similar.

Recommended: Finance

If you are ready to put in the work, not much prior knowledge of Finance is needed. If you have passed courses such as
* 10146 Finanzmarkttheorie
or the like, it will be easier for you.

More specialized courses, such as
* 43560 Asset Management
* 50788 Computational Finance and AI
* 41628 Monetary Policy
* 54856 Banks and the Fintech Revolution
can also be helpful (but they are not required).
Anmeldung zur Lehrveranstaltung Registration: Please enroll in the Online Services (services.unibas.ch);

Eucor-Students and mobility students of other Swiss Universities or the FHNW first have to register at the University of Basel BEFORE the start of the course and receive their login data by post (e-mail address of the University of Basel). Processing time up to a week! Detailed information can be found here: https://www.unibas.ch/de/Studium/Mobilitaet.html
After successful registration you can enroll for the course in the Online Services (services.unibas.ch).

Applies to everyone: Enrolment = Registration for the course and the exam!


A deregistration is possible until November 11, 2024 by email to belegungstorno-wwz@unibas.ch.
Unterrichtssprache Englisch
Einsatz digitaler Medien kein spezifischer Einsatz

 

Intervall Wochentag Zeit Raum
wöchentlich Donnerstag 14.15-18.00 Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31

Einzeltermine

Datum Zeit Raum
Donnerstag 31.10.2024 14.15-18.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31
Donnerstag 07.11.2024 14.15-18.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31
Donnerstag 14.11.2024 14.15-18.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31
Donnerstag 21.11.2024 14.15-18.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31
Donnerstag 28.11.2024 14.15-18.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31
Donnerstag 05.12.2024 14.15-18.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31
Donnerstag 12.12.2024 14.15-18.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31
Module Modul: Fachlich-methodische Ausbildung (Promotionsfach: Staatswissenschaften)
Modul: Field Electives in Finance and Money (Masterstudium: Finance and Money)
Modul: Finance Field: Financial Markets and Asset Pricing (Masterstudium: Finance and Money)
Spezialisierungsmodul: Areas of Specialization in International and/or Monetary Economics (Masterstudium: International and Monetary Economics)
Prüfung Leistungsnachweis
Hinweise zur Prüfung The course provides 3 credit points upon successful completion.
1/6 of the final grade will be determined by your participation during the presentations of your peers.
1/3 will be determined by your own presentation.
The remaining 1/2 will be determined by the quality of your report.
An-/Abmeldung zur Prüfung Anmelden: Belegen; Abmelden: Studiendekanat
Wiederholungsprüfung keine Wiederholungsprüfung
Skala 1-6 0,1
Belegen bei Nichtbestehen beliebig wiederholbar
Zuständige Fakultät Wirtschaftswissenschaftliche Fakultät / WWZ, studiendekanat-wwz@unibas.ch
Anbietende Organisationseinheit Wirtschaftswissenschaftliche Fakultät / WWZ

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