ASSET PRICING 1
Danish Doctoral School of Finance Ph.D. course
Fall 2007

 

Teachers. Simon Lysbjerg Hansen and Claus Munk, both Department of Business and Eco­nomics, University of Southern Denmark in Odense.

 

Structure. The work load in the course is equivalent to 48 lessons of 45 minutes each, split into approximately 32 lessons of lectures (= 24 full hours) and approximately 16 lessons of problem discussion (= 12 full hours). The course is organized as 4 two-day sessions. See dates below. The tentative schedule for each day is as follows: 9:30AM–1:30PM lectures (including coffee break and lunch break), 1:30–3:00PM students work on problems, 3:00-4:30PM students present and discuss their solutions to the problems. Lunches and coffee breaks are sponsored by the Danish Doctoral School of Finance.

 

Location. University of Southern Denmark, Campusvej 55, DK-5230 Odense M. See room numbers on the plan below. “Seminar” means the seminar room at the Department of Business and Economics. Use the main entrance, walk up the stairs and turn right and then left, and go upstairs. If you want to spend the night in Odense, Ydes hotel (www.ydes.dk) is nice and inexpensive (495 kroner per night including breakfast buffet). Slightly more expensive (the rate is approx. 700 kroner per night) and luxurious is City Hotel (www.city-hotel-odense.dk). You can get from the city center to the university by taking bus 41 labeled “Universitetet” from the train station or in front of City Hotel; in peak hours there is a bus every 10 minutes. Get off at the main entrance of the university.

 

Exams. At the end of the course students will be given a problem set, which they have to answer within 2-3 weeks. The answers will be evaluated by the teachers of the course and graded on a pass/fail basis.

 

Exercises. You will not be able to solve all the problems in the short time allocated to individual work on the days we meet, so you should try to solve (most of) the problems before the session.

 

Literature and tentative schedule. The lectures will mainly be based on the (incomplete) lecture notes Munk (2006) and chapters from the textbook Cochrane (2005). The lecture notes will be distributed via e-mail. Cochrane’s book will probably also be used in the Financial Econometrics course next spring. In addition, we shall use some recent journal articles (one ore two articles may be added).  In the schedule below some of the references to Cochrane’s book are in parentheses. These parts will not add much to the lecture notes and can be skipped but maybe some of you prefer Cochrane’s presentation.