ECO525: Financial Economics I

Semester: 

Fall

Offered: 

2015

The aim of this Ph.D. course is to provide an introduction to asset pricing under asymmetric information. Module I introduces students to rational expectations models and strategic market microstructure models, especially insider trading and sequential trade models. It also highlights the role of higher order uncertainty and knowledge and outlines no-trade theorems. Module II pays explicit attention to models of bubbles and limits to arbitrage. Herding models form part of this module. Module III outlines with recent liquidity models that have important implications for risk management and systemic risk measurement. Finally, Module IV focuses on recent models at the intersection between macroeconomics, monetary economics and finance.

Eco525 Syllabus F2015.pdf97 KB
11 Modelling Info.pdf274 KB
12 Rational Expectations Equilibria.pdf363 KB
13 Share Auctions.pdf453 KB
14 Screening Trading Models.pdf1.01 MB
15 Signalling Trading Models.pdf253 KB
16 Kowledge NoTradeTheorems.pdf395 KB
17 Optimal Expectations.pdf760 KB
21 Limits to Arbitrage and Bubbles 1.pdf757 KB
22 Limits to Arbitrage and Bubbles 2.pdf1.21 MB
41_predatorytrading_eco525_a.pdf440 KB
42_liqliq_eco525_a.pdf1.01 MB
01 ProblemSet.pdf54 KB