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Advanced finance (in English) [ LLSMS2100 ]

5.0 crédits ECTS  30.0 h   1q 

Teacher(s) Béreau Sophie ; Iania Leonardo ;
Language English
of the course
Main themes
  • Sep. 26 - Presentation and introduction
  • Oct. 03 - Preferences and attitude towards risk
  • Oct. 10 - Risk aversion and investment decisions
  • Oct. 17 - The Capital Asset Pricing Model (CAPM)
  • Oct. 24 - Arrow-Debreu pricing: Equilbrium vs. Arbitrage Pricing
  • Oct. 31 - The Martingale Measure
  • Nov. 07 - The Arbitrage Pricing Theory (APT)
  • Nov. 14 - Financial markets and financial data in practice
  • Nov. 21 - The CAPM in practice
  • Nov. 28 - Multi-factor models
  • Dec. 05 - The Efficient Market Hypothesis
  • Dec. 12 - Modeling volatility: ARCH/GARCH models
  • Dec. 19 - How to manage risk? The concept of Value at Risk (VaR)
Evaluation methods


The evaluation will rely on:
1. a continuous assessment based on two written assignments counting for 25% each, which leads to 50% of the final grade;
2. a closed-book exam counting for the other 50%


Presentation of the course

The course aims to provide both theoretical and empirical insights in the field of financial economics at an intermediate (i.e. Master's) level. It is divided into two parts of 6 lectures each.
Theoretical aspects
The first one deals with theoretical aspects of financial modeling in general. More specifically, it reviews in details the main two methodologies devoted to asset valuation which are: the equilibrium vs. the arbitrage approaches.
Empirical aspects
The second one focuses on a selection of empirical issues and tools devoted to testing the main predictions of theoretical models in practise. Important questions such as the validity of the CAPM or APT models, the accuracy of the EM hypothesis, the issue of asset price volatility or that of risk management will be treated on a "do-it-yourself" basis using R.
As a whole, this class should provide the students with both the required material for LLSMS2016 - Asset Pricing (mostly section 1 on Theoretical aspects) and some useful tools that could be needed for the realization of their Master's thesis in Finance (section 2 on Empirical aspects).


Theoretical aspects

- Danthine, J.-P., and J.B.Donaldson, (2012, forthcoming), Intermediate Financial Theory,
- Elsevier Academic Press, 3rd ed. [DD]

Empirical aspects

- Cambell, J.Y., Lo, A.W. and A.C. MacKinlay (1997), The Econometrics of Financial Markets,
- Princeton University Press [CLM] - disponible à la bibliothèque BSPO
- Jondeau, E., S.-H. Poon and M. Rockinger (2007), Financial Modeling under Non-Gaussian Distributions, Springer Finance Series, Springer-Verlag [JPR] - disponible en ligne à la bibliothèque de l'UCL

Cycle et année
> Master [120] in Business engineering
> Master [120] in Management
> Master [120] in Management
> Master [120] in Business Engineering
Faculty or entity
in charge

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