Asset Pricing II Spring 2004

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• What
  
  
• Where and when and how
  
  
• Potential Participants
  
  
• Questions
  
  

What

• Continuous-time stochastic processes and stochastic calculus (possibly, but not likely, with the odd jump)
• "No arbitrage" pricing and hedging (of options). Martingale measures and the fundamental theorems of asset pricing.
• Change of numeraire.
• Interest rate modelling: The classic HJM-framework, even more classical (1-factor) short rate models, LIBOR market models. We will look at some generalizations of the affine framework (multi-dimensional cases, quadratic models, affinity of (Fourier) transforms and its use for option pricing).
• (Very) Recent topics in interest rate modelling. For this part, Pierre Collin-Dufresne is the "designated hitter" (or "closer", I'm not quite sure which the best baseball analogy). The exact contents have not been determined yet, but looking at his homepage should give an indication. Unspanned stochastic volatility and multi-factor swaption pricing will probably come up. And maybe even a word or two about credit risk?

Where and when and how

• March: 25-26 (DL)
  David has send out some practical details: Mail 1 Mail 2, Mail 3 (with room information), and Mail 4 (with meeting times) .
  As the list of recipients indicates, these mail were send to the "official" (ie. paying!) paying course participants.
  • Problem Set 1
• April: 21-23 (DL & RP)
  • Slides to Chapter 20. A note with details of the proof of Proposition 20.5 . And (part 2b of) this the Markovian representation exercise (only in Danish) that I did at the lectures and is mention on the slides.
  • Slides to Chapter 21.
  • Problem Set 2. Greg Duffee's data page.
• May 13-14 (RP)
  • The plan
    
  • The slides from May 14th.
    
  • Problem Set 3
    A spreadsheet that solves (part of) Exercise 3
    .
• June 7-9 (PC-D). Here's what Pierre says about his lectures:
  "Probably I'll make two joint lectures on USV ( the JF paper and the paper with Chris), and then probably one lecture on generalizing affine models to string and HJM models, where I'll probably also talk about the swaption pricing paper. Then for the seminar I plan to present the two papers on commodity stuff. I'll spend more time on the equilibrium model, but will use empirical results from the other one."
  • Monday June 7: 10-11.30 & 13.00-14.30 in room SPs05. Pierre's slides.
  • Tuesday June 8: 9-10:30 & 11-12:30 in room SPs13. Pierre's slides. (Should cover 1st part of Wednesday too.) And more slides. (Although I can't quite see their purpose. Maybe later.)
  • Wednesday June 9: 10.00-11.30 (in SPs13) & 13:00-14:15 (seminar in SPs05, I think).

• DL & RP parts: Mandatory exercises to be presented in class (after being specifically assigned) or handed in.
• PC-D: Mandatory attendance of lectures.

Info for potential participants

For PhD-students

For (KU-)mat/øk-studerende

• Man følger forelæsningerne og får inspriration/hjælp til sin specialeskrivning, som så foregår på ganske traditionel vis.
• Man skriver et 10 ECTS fagprojekt baseret på sidste del. Fagprojektet skal ligge tæt op ad det gennemgåede materiale (fx noget implementation/estimation eller nogle oversprungne detaljer/beviser). Da det kræver mere selvstændigt arbejde end ved sædvanlige kurser at forstå forelæsningerne (der opfattes som stort set den projektvejlending, man får), så kan de udfærdigede rapporter være af mindre fysisk omfang; jeg tænker mig 10 sider for 10 ECTS. Der vil være en deadline på sådanne projekter; fx aflevering inden sommerferien.

Outside 'academia'/practitioners

Questions