Swedish House of Finance (SHoF) offers in collaboration with the Royal Institute of Technology (KTH) a lecture series on

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Within its newly established Doctoral Course Program in Finance, the Swedish House of

Finance (SHoF)

offers in collaboration with the Royal Institute of Technology (KTH) a

lecture series on

Equilibrium Theory in Continuous Time Finance

with

Tomas Björk (SSE & KTH)

Course Content:

1. The connection between dynamic programming and the martingale method for optimal investments.

2. Equilibrium in a simple production economy.

3. The Cox-Ingersoll-Ross production equilibrium model, including the CIR interest rate model.

4. Existence of the representative agent for multi-agent models.

5. Endowment equilibrium models.

Time permitting, we may also cover models with partial observations.

Prequisite: Necessary and sufficient prerequisites is Tomas Björk's PhD course “Continuous Time Finance”. In operational terms this means knowledge of the following basic tools:

Arbitrage theory, martingales measures and the relations to absence of arbitrage and market completeness, risk neutral valuation, stochastic analysis for Wiener driven processes,

Girsanov transformations, change of numeraire, dynamic programming for stochastic control problems, the martingale approach to optimal investment problems.

Course Format: The series will start in mid March, with two lectures per week for four weeks. (Exact dates are given below.) There will be a written exam at the end of the course and the course will count as 4 ECTS points. For further information about the course content, please contact Tomas.Bjork@hhs.se

Literature: The literature consists of a set of lecture notes (ca 100 pages) and OH slides for the lectures, which will be available on the course home page. There will also be requested readings of some classical papers in the field.

Schedule: The course will take place at KTH, Lindstedtsvägen 5, on the following days:

2012-03-13 13:00 - 15:00 Entreplan D35 2012-03-15 13:00 - 15:00 Entreplan D35 2012-03-20 13:00 - 15:00 Entreplan D34 2012-03-22 13:00 - 15:00 Entreplan D35 2012-03-27 13:00 - 15:00 Entreplan D34 2012-03-29 13:00 - 15:00 Entreplan D35 2012-04-10 13:00 - 15:00 Entreplan D34 2012-04-12 13:00 - 15:00 Entreplan D34

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There will be possibilities for doctoral students to apply for funding of travelling expenses.

Please send a brief motivation and budget to Lisa Klein at the Department of Finance (SSE), e-mail: Lisa.Klein@hhs.se in order to apply.

For further information about SHoF’s Doctoral Course Program in Finance contact Professor Mike Burkart (Mike.Burkart@hhs.se).