FIN546 Continuous Time Finance: Credit Risk and Capital Structure
The course is a primer in the classical continuous asset pricing theory applied to pricing of credit risk and choice of capital structure.
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.
6 lectures of 3 hours in April and May 2020.
Basic knowledge of asset pricing.
Requirements for course approval
Individual term paper
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
Svein-Arne Persson. department of finance