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Finance Theory

Advanced PhD course presented by Frank Finn Professor of Finance Tom Smith at The University of Queensland Business School
 

Professor Smith's research interests include areas of Asset Pricing Theory and Tests; Design of Markets - Market Microstructure; and Derivatives. His articles have appeared in leading journals including the Journal of Financial Economics, Journal of Finance, Review of Financial Studies, Journal of Financial and Quantitative Analysis, Journal of Business, Journal of Law and Economics, Journal of Accounting Research. Tom is particularly proud of all of his PhD students and the fact that they have more than 50 tier 1 publications in the Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Journal of Financial and Quantitative Analysis and Journal of Business. Tom’s students credit the PhD course work in Finance Theory and Finance Empirical as providing a great base for their research careers.

Course Timetable:

Module 1        :        Thursday - Friday 21-22 February

Module 2        :        Saturday - Sunday 16-17 March

Module 3        :        Saturday - Sunday 11-12 May

                                            Final Exam     :        Thursday 13 June

                                            

Venue Location:       Colin Clark Building #39, Lecture Room 103.    Click here to download a UQ campus map.


FIRN courses are open to PhD students from FIRN member institutions.  No course fees apply for students from FIRN member institutions. Travel and accommodation costs are the responsibility of the participant.
Academic staff are welcome to sit in on FIRN courses.

For further information about enroling in this course please email the FIRN Executive Officer, Madonna Stevenson at firn@business.uq.edu.au.


List of Topics
The following is a list of topics that will be covered within this course along with the associated reading assignments. A set of class notes will also be provided.

Please click on the Module below to download the course readings and course notes.

Module 1 Discrete Time Models Thurs Friday 21-22nd February
The Capital Asset Pricing Model (CAPM)
Huang and Litzenberger chapters 3 and 4
Ingersoll chapters 3 and 4
The Arbitrage Pricing Theory (APT)
Ingersoll chapters 2 and 7
State Preference Models
Huang and Litzenberger chapters 5, 6, and 7
The Lucas Model
Ingersoll chapters 10 and 11
The Pricing Kernel Approach: Putting the Models together

Module 2 Continuous Time Models Saturday Sunday 23-24th March
Continuous Time Mathematics
Ingersoll chapters 12 and 16
The Black--Scholes Option Pricing Model
Ingersoll chapter 14
The Merton Model
Ingersoll chapter 13
The Breeden Model
Ingersoll chapter 15
The Cox--Ingersoll--Ross Model (CIR)
Ingersoll chapter 18

Module 3 Rational Expectations Models Saturday Sunday 11-12th May
The Grossman Model
The Admati Model
The Kyle Model
Extensions of the Kyle Model and future directions
Review of the Course

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