Asset Pricing Theory

BMAN70381 Asset Pricing Theory 15 Semester 1 Postgraduate Taught Level 7 Alex Taylor Unit coordinator 1 FHEQ level (Framework for Higher Education Qualifications) ' Masters/Integrated Masters P4 ' European Credit Transfer & Accumulation System Rating : 7.5 Topic 1: Mean-variance portfolio analysis and the CAPM  Topic 2: Asset Pricing: A complete markets model Topic 3: Option Pricing and Risk-Neutral Valuation  Topic 4: Multi-Period Asset Pricing Topic 5: Forward and Future Prices Topic 1: Mean-variance portfolio analysis and the CAPM  Topic 2: Asset Pricing: A complete markets model Topic 3: Option Pricing and Risk-Neutral Valuation  Topic 4: Multi-Period Asset Pricing Topic 5: Forward and Future Prices   •  To gain a good understanding of the main theories and techniques of modern asset pricing. •  To follow the derivation of the Capital Asset Pricing Model and the Black-Scholes option pricing model. •  To appreciate the applications of these theories in portfolio analysis, risk management and corporate finance. •  To develop analytical skills for use in Finance.  On completion of this unit successful students will have achieved the following learning outcomes:•  Understand and be able to apply the main techniques of modern asset pricing. •  Understand the main assumptions of the Capital Asset Pricing Model and be able to derive the main steps of the model. •  Appreciate the most important applications of the model. •  Understand how the model applies in a multi-period world. •  Understand the principle of risk-neutral valuation and be able to derive the Black-Scholes option pricing model. •  Appreciate the difference between forward contracts and futures contracts. •  Understand the pricing of forward and futures contracts. 0 Other 100% Set of Exercises (20%)MCQ Examination (80%) Informal advice and discussion during a lecture, seminar, workshop or lab. Responses to student emails and questions from a member of staff including feedback provided to a group via an online discussion forum. Written and/or verbal comments on assessed or non-assessed coursework. BMAN70381 Programme Req: BMAN70381 is only available as a core unit to students on MSc Quantitative Finance and MSc Mathematical Finance MSc Mathematical Finance MSc Mathematical Finance PGDT Taught Component Mandatory N Poon and Stapleton, Asset Pricing in Discrete Time: A Complete Markets Approach, Oxford UP, 2005 Copeland, Weston and Shastri, Financial Theory and Corporate Policy, 4th International edition, Prentice Hall, 2005 For a review of some basic mathematical techniques that are used in financial theory see Copeland and Weston, appendix B, D. For a review of the properties of the normal distribution see Stapleton and Poon: Appendix of Chapter 3. Selection of seminar academic papers for each topic (provided by the course coordinator) Assessment written exam 1.5 Lectures 22 0 126.5 Informal Contact MethodsOffice Hours