Econometrie des modèles d'évaluation d'actifs
English Version
Course of QEM2 and Master2 MAEF: MMMEF
Semester 2
Number of Credits: 3 ECTS
Instructors: Florian Ielpo
Hours: 9 sessions of 2 hours each
Evaluation: Class evaluation and a final practical project
General Presentation: This course is mainly intended to bridge the gap between continuous time asset pricing and financial time series analysis, beyond the usual Black Scholes model. The first part of the course will be devoted to the empirical analysis of the stochastic volatility model in a Heston framework, using its characteristic function for asset pricing, calibration and estimation purposes, based on simulated and real data. The second part of the course, will be devoted to simulation and estimation of discrete time asset pricing models in a pricing kernel approach, based on several time series models, using non Gaussian distributions. During the whole course, practical implementations on classical software will be performed (Matlab and R).
Books: Singleton, 2006, Dynamic Asset Pricing Model, Princeton Press
Jondeau, Rockinger and Poon, 2007, Financial Modelling under Non Gaussian
Distributions, Springer
Gourieroux, Jasiak, Econometrics of Finance, 2002, Princeton Press
Cochrane, Asset Pricing, Revised Edition, 2005, Princeton Press
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