Informazioni di Asset Pricing | DidatticaWEB

Generali:

Dipartimento: Economia
Settore Ministeriale: SECS-S/06
Codice di verbalizzazione: 8011971
Metodi di insegnamento: Frontale E Altro
Metodi di valutazione: Scritto E Orale
Prerequisiti: None
Obiettivi: Learning Outcomes After taking this class, students should be able to demonstrate an understanding of the economics underlying the basic models in asset pricing and effectively communicate the challenges to reconcile the models with the data. Students will also develop the following skills. They will be able to Simulate stock prices on the computer. Estimate the drift and volatility of stock prices. Solve a dynamic portfolio optimization problem. Compute the prices of European and American calls and puts options. Extract information from option prices. Compute abnormal returns using the market model and the FF factors. Run, on paper, a fully functioning stock market. Learning outcomes, expressed in terms of the Dublin descriptors: Knowledge and understanding: Demonstrate an understanding of the underlying economic concepts and theories of asset pricing models. Apply theoretical frameworks to explain and analyze financial market phenomena. Critically evaluate the limitations of asset pricing models in explaining the observed financial data. Applying knowledge and understanding Applying knowledge and understanding to solve a dynamic portfolio optimization problem. Applying knowledge and understanding to compute the prices of European and American calls and puts options Applying knowledge and understanding to extract information from option prices. Applying knowledge and understanding to compute abnormal returns using the market model and the FF factors. Making judgments: Critically evaluate the performance of asset pricing models and analyze how well they fit with empirical data. Analyze the impact of market frictions and other real-world factors on asset prices. Communication: Communicate financial concepts effectively to various audiences both verbally and in writing. Collaborate with peers to effectively communicate joint work. Learning skills: Develop the ability to self-assess. Demonstrate the ability to learn independently and actively seek out information and resources to deepen understanding of asset pricing concepts and theories. Develop effective problem-solving skills through regular assignments and simulations.

Didattica:

A.A.: 2023/2024
Canale: UNICO
Crediti: 6

Classe virtuale:

Nome classe: BARUCH-8011971-ASSET_PRICING_2
Link Microsoft Teams: Link
Docente: BARUCH SHMUEL