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Rsch Sch of Finance, Actuarial Studies & App Stats · ANU College of Business and Economics
This course develops modern asset pricing theory and provides students with an in-depth knowledge of asset pricing models. It explains how to use discrete-time and continuous-time models. We preview the classic issues in finance and think about asset pricing in a simple economic equilibrium. We study contingent claims and learn how to value them using discount factors. We explore the mean-variance frontier and beta representations, and study the classic linear models such as CAPM, ICAPM and APT. We value options and bonds, learn about portfolio theory and explore the intersection of asset pricing and macro-economics. In-class learning is augmented with tailored homework assignments, the reading, presentation and discussion of related frontier research, and a hands-on, research-focused final project that prepares students for independent future work.
Typical assessment may include, but is not restricted to: assignments, presentations and other assessment as appropriate
Learning outcomes 1, 2, 3, 4
Students are expected to commit 130 hours of work in completing this course. This includes time spent in scheduled classes and self-directed study time
Information about the prescribed textbook will be available via the Class Summary