Advanced PhD course presented by Frank Finn Professor of Finance Tom Smith at Bond University
Professor Smith's research interests include the areas of Environmental Finance; 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.
Knowledge Level and Prior Course Requirements
It would be a good idea to brush up on their matrix algebra and calculus.
A useful reference book here is Chiang, Alpha C. "Fundamental Methods of Mathematical Economics" McGraw Hill 2004 but a quick read through on the subject using Wikipedia should be enough. Other course readings can be downloaded from this webpage (see bottom of page for full list of files).
Statement On Plagiarism
Plagiarism is a broad term referring to the practice of appropriating someone else's ideas or work and presenting them as your own without acknowledgment. Plagiarism is literary or intellectual theft. It can take a number of forms, including:
- copying the work of another student, whether that student is in the same class, from an earlier year of the same course, or from another tertiary institution altogether
- copying any section, no matter how brief, from a book, journal, article or other written source, without duly acknowledging it as a quotation
- copying any map, diagram or table of figures without duly acknowledging the source
- paraphrasing or otherwise using the ideas of another author without duly acknowledging the source.
Whatever the form, plagiarism is unacceptable both academically and professionally. By plagiarising you are both stealing the work of another person and cheating by representing it as your own. Any instances of plagiarism can therefore be expected to draw severe penalties.
Cheating means to defraud or swindle. Students who seek to gain an advantage by unfair means such as copying another student's work, or in any other way misleading a lecturer about their knowledge or ability or the amount of work they have done, are guilty of cheating. Students who condone plagiarism by allowing their work to be copied will also be subject to severe disciplinary action.
UQ students doing this course for credit should enrol in FINM 6900.
Non-UQ Students i.e. those from other universities should enrol in the appropriate course at their own Universities (eg at ANU this will be FINM 8010).
Module 1 Discrete Time Models
- 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
- 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
- The Grossman Model
- The Admati Model
- The Kyle Model
- Extensions of the Kyle Model and future directions
- Review of the Course
For more information please email Professor Tom Smith firstname.lastname@example.org