瑞典斯德格尔摩大学金融系PHD项目计划与主要课程设置—— Department of Finance, Stockholm School of Economics Four years of stimulating studies - a lifetime of exciting work A Ph.D. in Finance is highly regarded in the academic world as well as in the business community. Wherever you end up, you will find yourself a more rewarding occupation: intellectually and financially. The Ph.D. program starts with one year of courses in economics, mathematics and statistics. It is followed by a year of basic finance courses (asset pricing, derivatives, corporate finance, empirical finance) and specialized courses of your choice. There are good opportunities to take one or several of these courses abroad.To help you find a thesis subject many courses include term papers. Our seminar series, of high international standard, provides you with interesting ideas. Presenting and discussing research at conferences is also considered an integral part of writing a thesis.Financial support is arranged for four or five years, provided your academic progress is adequate. There is no tuition fee.Application deadline: 1 February every yearThe Ph.D.-program is a joint program with the departments of Economics and of Economic Statistics. Details about courses, how to apply, financial support, prerequisites and more can be found at the homepage of the Ph.D. Program in Economics, Econometrics and Finance.To get an idea of the career opportunities there is a list of Former PhD-students and their present positions. ———————————————————————— http://www.hhs.se/Finance/PhDProgram/PhDCoursesInFinance/PhDCoursesInFinance.htm PhD Courses in Finance Courses given every year Course Name Starting Exam Finance I Discrete Asset Pricing Theory March 2005 Monday, May 30, 10-15,at SSE, Room 550. Finance II Continuous Time Finance Oct 2005 Retake exam on Friday,May 27, 10-15, at SSE,Room 550. Finance III Empirical Asset Pricing Jan 2006 Finance IV Applied Contract Theory - Corporate Finance Aug 2005 Finance V Empirical Corporate Finance Oct 2005
Non-Recurrent Courses Course Name Starting Exam
Market Microstructure Sep 2002 Theory of Banking April 2001 Comparative Corporate Governance Nov 2000
Mini-Courses Course Name Starting Exam Behavioral Finance May 2001 The Japanese Financial System April 2001
—————————————————————————————————————————— Finance I: Discrete Asset Pricing Theory Description The focus of the course will be asset pricing (discounting risky cash flows to current prices) in a discrete time framework. In particular, we will investigate the restrictions the law of one price and the principle of no arbitrage place on security prices and returns, as well as develop well known parametric and non-parametric models of asset pricing. Contents General properties of asset pricing models Implications of the law of one price and no rrbitrage Parametric stochastic discount factors: The capital asset pricing model (CAPM) Multifactor models Consumption-based APM's Non-parametric stochastic discount factors Required Materials:
The course will be largely based on the notes that can be find here.
Recommended Optional Materials:- Cochrane, John H., 2001, Asset Pricing, Princeton University Press, Princeton, New Jersey.- Ingersoll, Jonathan E., 1987, Theory of Financial Decision Making, Rowman & Littlefield, Savage, Maryland - Campbell, John, Andrew Lo, and A. Craig MacKinlay, 1997, The Econometrics of Financial Markets, Princeton University Press, Princeton, New Jersey.- Huang, Chi-fu, and Robert H. Litzenberger, 1988, Foundations for Financial Economics, North-Holland, New York.- LeRoy, Stephen F., and Jan Werner, 2001, Principles of Financial Economics, Cambridge University Press, Cambridge. ———————————————————— Finance II: Continuous Time Finance
Description The object of this course is to provide an introduction to arbitrage theory in continuous time and in particular to pricing and hedging theory for financial derivatives. The course also contains an introduction to stochastic differential equations and Itô calculus, which are the main mathematical tools used in this field of research. Contents Mathematics:Stochastic integrals, the Ito formula, stochastic differential equations, Feynman-Kac representation theorems. Equity derivatives:Portfolio dynamics, the Black-Scholes model, pricing, completeness and hedging. Extensions:Dividends, currency derivatives. Incomplete markets:Pricing in a factor model, the market price of risk. Interest rate theory:Short rate models, affine term structures, inversion of the yield curve, forward rate models, the HJM approach. Change of numeraire:The normalized economy, pricing in a new numeraire, forward measures, the general option pricing formula, forward and futures —————————————————————— Finance III: Empirical Asset Pricing Description This course is intended for PhD students in finance and related fields. The goal of the course is to prepare students to conduct research in empirical asset pricing. After a review of econometric methods often used in empirical research, work in the following main areas will be covered: time varying moments of returns, intertemporal equilibrium models, and the cross-section of expected returns. If time permits, other topics (such as portfolio choice econometrics, stock market participation, and estimation of term structure models) will be covered。 Prerequisite There is no formal prerequisite for taking this course. It is, however, strongly recommended for students to have taken the compulsory econometrics/statistics courses in the PhD program and to be familiar with basic time series analysis. It is also assumed that students are familiar with the material in Finance I: Discrete Asset Pricing Theory Literature There is no required text book for the course. However, the following books will frequently be referenced: Campbell, John Y., Andrew W. Lo, and A. Craig MacKinlay, 1997, The Econometrics of Financial Markets (Princeton University Press, Princeton). Cochrane, John H., 2001 or 2005, Asset Pricing (Princeton University Press, Princeton). Hamilton, James D., 1994, Time Series Analysis (Princeton University Press, Princeton). A detailed reading list, comprised mainly of articles, will be given at the first class meeting.———————————————————————————————————— Finance IV: Applied Contract Theory - Corporate Finance Description This course offers a graduate level introduction to corporate finance theory. Rather than providing an exhaustive overview of the field, the course focuses in depth on selected topics, in particular the firms' financing choices (e.g., capital structure) and the allocation of corporate control. In addition, the course reviews the recent literature on institutional aspects of corporate finance. The material consists of modern game- and contract-theoretic tools applied to corporate finance. The course also aims at training students to use these tools for their own research. To this end, the course allocates time to the discussion of problem sets that the students are asked to solve in advance. While the course is compulsory for Ph.D students in finance, it is open to all Ph.D students in economics and of particular interest to those who specialize in modern microeconomics. (Ph.D students from other universities and doctoral programs are also welcome). Contents More specifically, the course intends to cover the following topics (one or the other topic may be shortened or omitted due to the limited time available). Modigliani-Miller Theorem Moral Hazard Models of Financial Contracting Asymmetric Information Models of Financial Contracting Other Theories of Financial Contracting Multiple Investors Transfer of Corporate Control Debt and Managerial Incentives Ownership Concentration and Corporate Control Legal Protection Prerequisite Since modern corporate finance theory relies heavily on advances in game and contract theory, participants are expected to be familiar with basic concepts in these areas of microeconomics. ———————————————————————————————— Finance V: Empirical Corporate Finance Description This aim of this course is to prepare Ph.D. students to do research in Empirical Corporate Finance. The course is organized around published and working papers in the field with an emphasis on econometric methods. Rather than providing an exhaustive overview of the field, the course focuses in depth on selected topics to illustrate different empirical approaches to the same or related questions. Using papers on ownership concentration and corporate governance, the course will highlight the following empirical themes: endogeneity, difference in difference estimators and event studies. To deepen their understanding of empirical research, students are required to write a term paper. The course requires a good knowledge of the 1st year Ph.D. courses in econometrics as well as some basic knowledge of corporate finance. It is open to all Ph.D. students.
Requirements Students are expected to read the assigned papers before class. The grade will be based on a combination of a research paper (70%), written assignments (20%) and class participation (10%). The research paper can have at most three co-authors. The point of the paper is that students start developing empirical skills. It does not have to be novel, for example, students can replicate a previous study using Swedish data. However, to obtain the highest grade, the paper should be original. Students are required to schedule an appointment with me to discuss their ideas and to hand in a proposal of 5-6 pages by the end of the course. The final paper is due in March. Students will be expected to become familiar with the statistical software necessary to write their paper on their own. Students will also be expected to search for their own data. The assignments consist of one computer exercise, whose purpose is to get students used to statistical software, and a referee report on a paper. Class participation involves discussions and, if the size of the class permits, presentations Textbooks There is no textbook that matches the contents of the course exactly. A useful reference for event studies is chapter 4 of • Campbell, J. Y., A. W. Lo and A. C. McKinlay, The Econometrics of Financial Markets, Princeton: Princeton University Press, 1997. A book that will be published soon and that we may cover parts of if it is available by the time the course starts is: • Eckbo, E. ed., Empirical Corporate Finance, North Holland Publishers, 200? A basic book covering Corporate Finance is:• Grinblatt, M. and S. Titman, Financial Markets and Corporate Strategy, Irwin/McGraw-Hill, 2nd edition. There is also no textbook that is the absolute bible for conducting empirical work. I have found the following book to be extremely useful: • Wooldridge, J. M., Econometric Analysis of Cross Section and Panel Data, Cambridge, Massachusetts: The MIT Press, 2002. Other useful econometrics books are: • Goldberger, A., A Course in Econometrics, Cambridge, Massachusetts: Harvard University Press, 1991.• Green, W., Econometric Analysis, New Jersey: Prentice Hall, 5th edition, 2003.
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