401-4935-63L  Equilibrium Models in Financial Economics

SemesterAutumn Semester 2013
LecturersJ. Muhle-Karbe
Periodicitynon-recurring course
Language of instructionEnglish



Courses

NumberTitleHoursLecturers
401-4935-63 VEquilibrium Models in Financial Economics2 hrs
Wed15:15-17:00HG D 3.2 »
J. Muhle-Karbe

Catalogue data

AbstractIn Mathematical Finance, asset prices are typically assumed to be given exogenously. This leads to tractable models that are well-suited to study the behavior of individual agents. However, policy regulations like the introduction of a transaction tax influence the whole market. To study their impact, one therefore has to turn to models where prices are determined endogenously in equilibrium.
ObjectiveIntroduction to equilibrium models:
1) Understand the conceptual ideas.
2) Learn about technical tools.
3) Gain overview over problems that can be studied and solutions that can be obtained using equilibrium models.
ContentThis course provides an introduction to the equilibrium models prevalent in Financial Economics. We will start by studying optimization problems for individual investors, and then move towards equilibrium prices, determined so that supply matches demand. The initial focus will be on conceptual issues in simple one-period models, before moving to more general settings in continuous time.
Lecture notesNo.
LiteratureWill be pointed out in the lecture.
Prerequisites / NoticeFoundations for Mathematical Finance, Itô calculus.

Performance assessment

Performance assessment information (valid until the course unit is held again)
Performance assessment as a semester course
ECTS credits4 credits
ExaminersJ. Muhle-Karbe
Typesession examination
Language of examinationEnglish
RepetitionThe performance assessment is offered every session. Repetition possible without re-enrolling for the course unit.
Mode of examinationoral 20 minutes
This information can be updated until the beginning of the semester; information on the examination timetable is binding.

Learning materials

No public learning materials available.
Only public learning materials are listed.

Groups

No information on groups available.

Restrictions

There are no additional restrictions for the registration.

Offered in

ProgrammeSectionType
Doctoral Department of MathematicsGraduate SchoolWInformation
Mathematics MasterSelection: Financial and Insurance MathematicsWInformation
Quantitative Finance MasterMathematical Methods for FinanceWInformation