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040031 KU Advanced BA/FM: Limits of Arbitrage (MA) (2019S)

4.00 ECTS (2.00 SWS), SPL 4 - Wirtschaftswissenschaften
Continuous assessment of course work

Registration/Deregistration

Details

max. 60 participants
Language: English

Lecturers

Classes

Dienstag 05.03. 16:45 - 18:15 Raum 06.335, Oskar-Morgenstern-Platz 1 6. Obergeschoß
Dienstag 26.03. 16:45 - 18:15 Raum 06.335, Oskar-Morgenstern-Platz 1 6. Obergeschoß
Dienstag 02.04. 16:45 - 18:15 Raum 06.335, Oskar-Morgenstern-Platz 1 6. Obergeschoß
Dienstag 09.04. 16:45 - 18:15 Raum 06.335, Oskar-Morgenstern-Platz 1 6. Obergeschoß
Dienstag 30.04. 16:45 - 18:15 Raum 06.335, Oskar-Morgenstern-Platz 1 6. Obergeschoß
Dienstag 07.05. 16:45 - 18:15 Raum 06.335, Oskar-Morgenstern-Platz 1 6. Obergeschoß
Dienstag 14.05. 16:45 - 18:15 Raum 06.335, Oskar-Morgenstern-Platz 1 6. Obergeschoß
Dienstag 21.05. 16:45 - 18:15 Raum 06.335, Oskar-Morgenstern-Platz 1 6. Obergeschoß
Dienstag 28.05. 16:45 - 18:15 Raum 06.335, Oskar-Morgenstern-Platz 1 6. Obergeschoß
Dienstag 04.06. 16:45 - 18:15 Raum 06.335, Oskar-Morgenstern-Platz 1 6. Obergeschoß
Dienstag 18.06. 16:45 - 18:15 Raum 06.335, Oskar-Morgenstern-Platz 1 6. Obergeschoß
Dienstag 25.06. 16:45 - 18:15 Raum 06.335, Oskar-Morgenstern-Platz 1 6. Obergeschoß


Information

Aims, contents and method of the course

In frictionless markets, any arbitrage opportunities would be immediately exploited and thus eliminated. In real markets, mispricing, whether created for behavioral or other reasons, gives rise to arbitrage opportunities that can persist because of various frictions. The goal of this course is to discuss what prevents mispricing from being eliminated immediately, and which institutional aspects of markets can lead to such mispricing in the first place. We will discuss both theoretical explanations for limits of arbitrage and empirical evidence.

Assessment and permitted materials

The grade will be based on a final exam, presentations in class, homework exercises and class participation. The exact details will be announced in the first class.

Minimum requirements and assessment criteria

Successful completion of Asset Pricing I

Examination topics

All content covered in class and in the required readings announced in class

Reading list

We will discuss various papers in class. Two articles providing much of the theoretical background are:

Gromb, D., and D. Vayanos (2010): Limits of Arbitrage, Annual Review of Financial Economics 2, 251-75.

Shleifer, A, and R.W. Vishny (1997): The Limits of Arbitrage, Journal of Finance 52(1), 35-55.

Association in the course directory

Last modified: Tu 02.04.2019 10:47