Finance Theory: Presenter Tom Smith

FIRN PhD Course

Finance Theory FIRN PhD course

Presenter: Tom Smith (Macquarie University)

See course Syllabus here.

Online Delivery 11-1pm

Module 1 - Saturday 28 February

Module 2 - Saturday 28 March

Module 3 - Saturday 25 April

Final Exam - Thursday 4 June, 2-5pm

Research Proposal Friday 12 June

Instructor: Professor Tom Smith

Tom’s research interests are in 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.

Overview

This course, which is the first in the sequence of doctoral seminars offered in finance, is designed to introduce students to the major models of asset pricing and to rational expectations models. All of the material is developed from first principles, so there are no formal prerequisites for taking this seminar. It is assumed, however, that students are familiar with basic microeconomic theory and have a working knowledge of both calculus and matrix algebra. The outline that follows provides a brief description of the material that is covered in the course. The course consists of three 2 Day Modules which deal with three broad categories of asset pricing models: single-period static models and discrete time intertemporal models (Module 1), continuous time mathematics, Black Scholes and continuous time models (Module 2) and finally rational expectations models: fully revealing equilibrium, noisy rational expectations equilibrium, the Kyle model, its extensions and future directions (Module 3). The general approach will be:

• to examine the economic intuition behind each model
• provide a mathematically rigorous derivation of the model
• discuss the model's important features, and
• outline the testable implications of the model.

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This course is open to PhD students and academics at FIRN member institutions (see firn.org.au for a list of FIRN members and other PhD courses on offer).

PhD students are required to have the permission of their PhD supervisor(s) to enroll is this class prior to enrolling. Students must complete all assessments.

Academics who are post-PhD can 'sit in' and do not have to complete the assessments.

All registrants must use their FIRN member university assigned email to register.

If you are from a non-member institution then email info@firn.org.au to ask about membership options.