Module Handbook

  • Dynamischer Default-Fachbereich geändert auf WIW

Module WIW-FE-DFM-M-7

Dynamics of Financial Markets (M, 4.5 LP)

Module Identification

Module Number Module Name CP (Effort)
WIW-FE-DFM-M-7 Dynamics of Financial Markets 4.5 CP (135 h)

Basedata

CP, Effort 4.5 CP = 135 h
Position of the semester 1 Sem. in SuSe
Level [7] Master (Advanced)
Language [EN] English
Module Manager
Lecturers
Area of study [WIW-FE] Macroeconomics
Reference course of study [WIW-88.21-SG#2009] M.Sc. Business Studies (2009) [2009]
Livecycle-State [NORM] Active

Courses

Type/SWS Course Number Title Choice in
Module-Part
Presence-Time /
Self-Study
SL SL is
required for exa.
PL CP Sem.
3V WIW-FE-DFM-K-7
Dynamics of Financial Markets
P 45 h 90 h - - PL1 4.5 SuSe
  • About [WIW-FE-DFM-K-7]: Title: "Dynamics of Financial Markets"; Presence-Time: 45 h; Self-Study: 90 h

Examination achievement PL1

  • Form of examination: oral examination (30 Min.)
  • Examination Frequency: each summer semester

Evaluation of grades

The grade of the module examination is also the module grade.


Contents

Based on traditional concepts in finance, this module develops a dynamical-systems approach to financial markets that explains prices and allocations as the result of heterogeneous interacting agents.

Topics:

  • Mean-Variance-Analysis (Efficient Portfolios, Two-Fund-Separation, CAPM model)
  • Dynamic model of the financial market with heterogeneous agents
  • Development of prices, portfolios and market shares in this model
  • Option prices

Competencies / intended learning achievements

  • Explain the decision making process of a risk-averse agent
  • Compute optimal portfolios
  • Understand the dynamic evolution of asset prices
  • Characterize long-run equilibria
  • Understand and model systematic and non-systematic risk
  • Understand the interaction of stock markets with derivative markets

Literature

Requirements for attendance of the module (informal)

Quantitative methods

Requirements for attendance of the module (formal)

None

References to Module / Module Number [WIW-FE-DFM-M-7]

Course of Study Section Choice/Obligation
[MAT-88.B84-SG] M.Sc. Actuarial and Financial Mathematics [Core Modules (non specialised)] Financial Economics [WP] Compulsory Elective
Module-Pool Name
[GS-CVT-BS-2022-E-MPOOL-6] Catalog Electives Business Studies and Economics 2022
[WIW-ET-MPOOL-7] Field of Specialization: Economic Theory
[WIW-FE-MPOOL-7] Field of Specialization: Financial Economics