|
| Udgave: |
Forår 2013 NAT |
| Point: |
7,5 |
| Blokstruktur: |
4. blok |
| Skemagruppe: |
C |
Semester: |
Forår |
| Varighed: |
7 uger. |
| Institutter: |
Institut for Matematiske Fag |
| Uddannelsesdel: |
Kandidat niveau |
| Kontaktpersoner: |
Rolf Poulsen, tlf. 35 32 06 85, rum 04.4.11, email: rolf@math.ku.dk |
| Skema- oplysninger: |
 Vis skema for kurset
Samlet oversigt over tid og sted for alle kurser inden for Lektionsplan for Det Naturvidenskabelige Fakultet Forår 2013 NAT |
| Undervisnings- periode: |
22. april - 23. juni 2013 |
| Undervisnings- form: |
4 timers forelæsning og 2 timers øvelser om ugen. |
| Indhold: |
The course studies (discrete time and space) portfolio choice in multi-period models. Both investment/consumption and pricing/hedging problems are covered.
Expected utility maximization and asset pricing in a one-period model. (State prices and stochastic discount factors,”q ~ u'”, incompleteness and duality. Lando & Poulsen Sec. 4.3)
Full equilibrium in one-period models (Sharpe Ch. 2-4)
Multi-period optimal investment/consumption: the martingale method. (Pascucci & Runggaldier Chapter 2)
Multi-period optimal investment/consumption : dynamic programming and the Bellman equation. (Pascucci & Runggaldier Chapter 2)
Optimal investment/consumption problems, some solvable cases; “Merton problems.” (Power utility, myopia and growth optimal portfolios, hedging demand and separation theorems. Blædel & Huge p. 1-30)
Multi-period asset pricing implications, equilibrium (the consumption-based CAPM. Dathine & Donaldson Ch. 9, Munk (2004))
Optimal stopping. (Lamberton & Lapeyre Ch. 2-3)
Hedging and pricing American options. (Lamberton & Lapeyre Ch. 2-3)
|
| Målbeskrivelse: |
The courses oral exam (the only form of evaluation) tests the students' specific and general knowledge of the contents, emphasizing two abilities:
Mathematically precise reasoning
Economic implications of the theory |
| Lærebøger: |
A variety of hand-outs: articles, papers, notes, parts of books, most of which are listed above. |
| Tilmelding: |
Kursus- og eksamenstilmelding og afmelding sker på
www.kunet.dk
Tilmelding skal ske i perioden den 15. november – 1. december 2012.
|
| Faglige forudsætninger: |
A bachelor degree in Mathematics-Economics. |
| Eksamensform: |
20-minute oral exam (without preparation but with prepared slides) with external censorship and 7-scale graded.
Re-exam: As ordinary exam
|
| Eksamen: |
Mundtlig prøve d. 18-19. juni 2013.
Reeksamen: Mundtlig prøve d. 21. august 2013. |
| Kursus hjemmeside: |
 |
| Undervisnings- sprog: |
Engelsk
|
| Sidst redigeret: |
30/10-2012 |