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Unit of study_
FINC6005: Advanced Asset Pricing
2021 unit information
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.
Unit details and rules
Managing faculty or University school:
Business (Business School)
| Study level | Postgraduate |
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| 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 |
| Assumed knowledge:
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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 availability
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