A three semester course. 3-4 hours per week; first semester.
Lecturer
Jørgen Aase Nielsen
Content
The object of this course is to give the participants knowledge of essential financial theories, in particular those developed in the last two decades. The share, bond, option and forward markets will be analysed. Books and journal articles for the course are chosen so that the participants acquire the basic knowledge for developing results independently. A further aim is to enable participants to read theoretical financial articles in e.g. Mathematical Finance and Econometrica.
Assessment
The course is a three semester course. No separate examination will be held, but the participants must be prepared to present results and make oral presentations frequently. Throughout the course many assignments will be set which must be completed satisfactorily.
Literature
Extracts from the following books:
Dothan, M.U.: Prices in Financial Markets, Oxford, 1990.
Duffie, D.: Dynamic Asset Pricing Theory, Princeton, 1996.
Merton, R.C.: Continuous-Time Finance, Blackwell, 1996.
Furthermore, articles and working papers will be used.