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Be English-friendly or any other language-friendly means that UC is taught in a language but can either of the
following conditions:
1. There are support materials in English / other language;
2. There are exercises, tests and exams in English / other language;
3. There is a possibility to present written or oral work in English / other language.
1
6.0
0.0 h/sem
24.0 h/sem
0.0 h/sem
0.0 h/sem
0.0 h/sem
0.0 h/sem
1.0 h/sem
25.0 h/sem
125.0 h/sem
0.0 h/sem
150.0 h/sem
Since year
2018/2019
Pre-requisites
Formally, none. However, it is expected that you have basic knowledge of asset pricing, microeconomics and mathematics.
Objectives
This course has two main objectives: (i) provide you with a rigorous and quantitative analysis of discrete-time asset pricing in multiperiod settings; (ii) introduce you to numerical methods and Matlab programming in order to solve dynamic programming problems.
Program
1. Introduction to state pricing: single-period model 2. The basic multiperiod model: extension of the single period model 3. The dynamic programming approach: multiperiod model in the Markov setting 4. The infinite-horizon setting: extension to infinite-horizon 5. Numerical methods for dynamic programming problems: introduction 6. Numerical methods for dynamic programming problems: applications
Evaluation Method
Periodic evaluation consisting of 4 individual problem sets, each one contributing 25% towards the final grade.
There is no 2nd chance evaluation.
Teaching Method
To accomplish the learning goals, the following learning-teaching methodologies (LTM) will be used: 1. Expositional, to the presentation of the theoretical reference frames 2. Participative, with analysis and resolution of application exercises 3. Active, with the realization of individual and group works 4. Self-study, related with autonomous work by the student, as is contemplated in the Class Planning.
Observations
Basic Bibliographic
1. Duffie, Darrell, Dynamic Asset Pricing Theory, 3rd edition, Princeton, 2001 2. Miranda, Mario J. and Fackler, Paul L., Applied Computational Economics and Finance, MIT Press, 2002 3. Class Notes
Complementar Bibliographic
1. Cochrane, John H., Asset Pricing, Princeton, 2005
