Finance Theory PhD Course

This course, which is the first in the sequence of doctoral seminars offered in finance, is designed to introduce students to the major models of asset pricing and to rational expectations models. All of the material is developed from first principles, so there are no formal prerequisites for taking this seminar. It is assumed, however, that students are familiar with basic microeconomic theory and have a working knowledge of both calculus and matrix algebra.

The course consists of three 2 Day Modules which deal with three broad categories of asset pricing models: single-period static models and discrete time intertemporal models (Module 1), continuous time mathematics, Black Scholes and continuous time models (Module 2) and finally rational expectations models: fully revealing equilibrium, noisy rational expectations equilibrium, the Kyle model, its extensions and future directions (Module 3).

Module 1 – 16-17 March 2019
Module 2 – 4-5 May 2019
Module 3 – 18-19 May 2019

Final Exam: Thurs 13 June 2-5pm

This course is open to PhD students and academics at FIRN member institutions (see firn.org.au for a list of FIRN members).

PhD students are required to have the permission of this PhD supervisor(s) to enrol is this class and must complete all assessments.

Academics who are post-PhD can 'sit in' and do not have to complete the assessments.

If you are from a non-member institution then email info@firn.org.au to ask about membership options.