Continuous Time Finance: Credit Risk and Capital Structure (not offered)

FIN546 Continuous Time Finance: Credit Risk and Capital Structure (not offered)

Autumn 2021

  • Topics

    The course is a primer in the classical continuous asset pricing theory applied to pricing of credit risk and choice of capital structure.

  • Learning outcome


    Students will have an in-depth understanding of the current research frontier of the continuous time credit risk and capital structure theory.


    Formulate problems, plan and carry out research within the above mentioned topics.


    Communicate and discuss research with a peer audience.

    Do independent research on the topics of this course.

  • Teaching

    6 lectures of 3 hours in April and May 2020.

  • Recommended prerequisites

    Basic knowledge of asset pricing.

  • Requirements for course approval

    Class participation.

    Homework sets.

  • Assessment

    Individual term paper

  • Grading Scale


  • Literature

    The basics: Duffie, Dynamic Asset Pricing,  Ch 5/Ch 11 Black/Scholes (1973) Merton (1973) Merton (1974) Duffie/Lando (2001) Leland (1994) Goldstein, Ju, Leland (2001) Extensions: Debt maturity: Leland/Toft 1998  Dynamic capital structure: Christensen, Floor, Lando, Miltersen (2014) Renegotiations (TBA) Asymmetric information:Duffie/Lando 2001, Lindset, Lund, Persson (2014)

    Banking: Dermine/Lajerie (2001), Atreya, Mjøs, Persson (2019), Nagel,Purnanandam (2019)

    More than one debt class: Lindset, Nygaard, Persson (2019)


ECTS Credits
Teaching language

Spring. Not offered spring 2021.

Course responsible

Svein-Arne Persson. department of finance