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| Semester | fall semester 2024 |
| Course frequency | Every fall sem. |
| Lecturers | Yvan Lengwiler (yvan.lengwiler@unibas.ch, Assessor) |
| Content | 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. |
| Learning objectives | Prepare you to do academic research in asset pricing. |
| Bibliography | TBD |
| Comments | 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. |
| Admission requirements | 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). |
| Course application | 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. |
| Language of instruction | English |
| Use of digital media | No specific media used |
| Interval | Weekday | Time | Room |
|---|---|---|---|
| wöchentlich | Thursday | 14.15-18.00 | Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31 |
| Date | Time | Room |
|---|---|---|
| Thursday 31.10.2024 | 14.15-18.00 | Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31 |
| Thursday 07.11.2024 | 14.15-18.00 | Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31 |
| Thursday 14.11.2024 | 14.15-18.00 | Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31 |
| Thursday 21.11.2024 | 14.15-18.00 | Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31 |
| Thursday 28.11.2024 | 14.15-18.00 | Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31 |
| Thursday 05.12.2024 | 14.15-18.00 | Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31 |
| Thursday 12.12.2024 | 14.15-18.00 | Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31 |
| Modules |
Modul: Fachlich-methodische Ausbildung (PhD subject: Staatswissenschaften) Module: Field Electives in Finance and Money (Master's Studies: Finance and Money) Module: Finance Field: Financial Markets and Asset Pricing (Master's Studies: Finance and Money) Specialization Module: Areas of Specialization in International and/or Monetary Economics (Master's Studies: International and Monetary Economics) |
| Assessment format | record of achievement |
| Assessment details | 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. |
| Assessment registration/deregistration | Reg.: course registr.; dereg.: Office of the Dean of Studies |
| Repeat examination | no repeat examination |
| Scale | 1-6 0,1 |
| Repeated registration | as often as necessary |
| Responsible faculty | Faculty of Business and Economics , studiendekanat-wwz@unibas.ch |
| Offered by | Faculty of Business and Economics |