Course: Capital Market Theory (5104-522)

Persons:

• Prof. Dr. Monika Gehde-Trapp (verantwortlich)

Type of Course:

lecture with exercise

In-Class Hours Per Week:

3

Contents:

The course offers a theory-based development of the major asset pricing theories. In the first part of the course, students discuss basic utility concepts, apply them in the context of mean-variance analysis of efficient portfolios, and derive optimal investment strategies within the capital asset pricing model (CAPM) context. Arbitrage pricing theory (APT) is proposed and discussed as an alternative asset pricing approach. In the second part of the course, students analyze contingent claims (forwards, futures, swaps, and options) with a focus on applications for hedging and investment as weil as the related valuation models. The third part of the course allows students to to apply the methods and techniques they developed in the first two parts in solving decision problems at the firm level using a real options approach, and to solve agency conflicts arising from asymmetric information between different firm stakeholders.

Literature:

Bodie, Kane, Marcus (2011): Investments
Elton, Gruber, Brown (2014): Modem Portfolio Theory and Investment Analysis Hull (2012): Option, Futures, and other Derivatives

Location:

Hohenheim

Remarks:

The course consists of a lecture (2 SWS) and an integrated exercise session (1 SWS).

Module:

• 5104-540 Capital Market Theory (compulsory)
• 5104-520 Advanced Corporate Finance (semi-elective)