401-4935-63L  Equilibrium Models in Financial Economics

SemesterAutumn Semester 2015
LecturersM. P. G. Herdegen
Periodicitynon-recurring course
Language of instructionEnglish

AbstractIn Mathematical Finance, asset prices are typically assumed to be given exogenously. This leads to tractable models that are well-suited to study the behaviour of individual agents. However, policy regulations like the introduction of a transaction tax influence the whole market. To study their impact, one has to turn to models where prices are determined endogenously in equilibrium.
ObjectiveIntroduction to equilibrium models:
1) Understand the conceptual ideas.
2) Learn about the technical tools.
3) Gain an overview over the 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 optimisation 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 / NoticeBrownian Motion and Stochastic Calculus, Introduction to Mathematical Finance or Mathematical Foundations for Finance