大学院
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最終更新日：2026年10月16日
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最終更新日：2026年10月16日
授業計画や教室は変更となる可能性があるため、必ずUTASで最新の情報を確認して下さい。
UTASにアクセスできない方は、担当教員または部局教務へお問い合わせ下さい。
金融経済学Ⅱ
Aims:
This course aims at equipping the students with the knowledge of modern discrete-time dynamic asset pricing models, including dynamic programming. The course starts with dynamic programming before applying the technique to the Lucas asset pricing model (or the Lucas tree model). Puzzles that are incompatible with the standard Lucas asset pricing model are introduced, and departures from the standard model in several paths are examined such as (quasi) hyperbolic discounting, heterogeneous beliefs and non-expected utility theories.
Intended Learning Outcomes:
Upon completion, students are expected to be able to:
• Define dynamic optimisation problems and characterise their solutions;
• Discuss the key properties of the Lucas asset pricing model;
• Discuss puzzles that are incompatible with the standard Lucas asset pricing model;
• Discuss theories on discounting and time preferences;
• Discuss theories on decisions under uncertainties.
This course aims at equipping the students with the knowledge of modern discrete-time dynamic asset pricing models, including dynamic programming. The course starts with dynamic programming before applying the technique to the Lucas asset pricing model (or the Lucas tree model). Puzzles that are incompatible with the standard Lucas asset pricing model are introduced, and departures from the standard model in several paths are examined such as (quasi) hyperbolic discounting, heterogeneous beliefs and non-expected utility theories.
Intended Learning Outcomes:
Upon completion, students are expected to be able to:
• Define dynamic optimisation problems and characterise their solutions;
• Discuss the key properties of the Lucas asset pricing model;
• Discuss puzzles that are incompatible with the standard Lucas asset pricing model;
• Discuss theories on discounting and time preferences;
• Discuss theories on decisions under uncertainties.
時間割／共通科目コード
コース名
教員
学期
時限
47191-12
GFS-IS6C37L3
金融経済学Ⅱ
中田 啓之
集中
マイリストに追加
マイリストから削除
講義使用言語
英語
単位
1
実務経験のある教員による授業科目
NO
他学部履修
可
開講所属
新領域創成科学研究科
授業計画
Lecture 1 (3rd period, 1 July) : Preliminaries
Lecture 2 (4th period, 3 July: Finite-horizon dynamic programming
Lecture 3 (3rd period, 8 July): Infinite-horizon dynamic programming
Lecture 4 (4th period, 10 July): Lucas asset pricing model
Lecture 5 (3rd period, 15 July): Discounting and time consistency
Lecture 6 (4th period, 17 July): Heterogeneous beliefs
Lecture 7 (3rd period, 22 July): Non-expected utility theories
授業の方法
Lectures and three assessed home assignments
成績評価方法
100 percent by home assignments - only the best two out of the three count.
Credits based on professional careers (CBPC) are not applicable to this course.
履修上の注意
No prerequisites, but knowledge of differential calculus and elementary linear/matrix algebra are desired.
Students are expected to read the lecture notes in advance.
