This page is for my 3 lectures while Sylvain Benoit uses MyCourse (Dauphine Intranet) for his 3 sessions.

Want to install MATLAB at home for free using Dauphine’s global licence? Click here.
Syllabus *coming soon*

Lecture 1: An Introduction to MATLAB Programming
Objectives of the Lecture:

  • Utilize the basic mathematical operations;
  • Get know the general purpose commands of Matlab;
  • Manipulate matrices, functions and loops;

Materials:

chapter1.pdf Handout
exercise1.m Exercise 1 (MATLAB file)
Lecture 2: Systematic risk, asset pricing in intertemporal models
Objectives of the Lecture:

  • Understanding the standard Lucas asset pricing model;
  • Highlighting both the equity premium and riskless rate puzzles;
  • Fixing these puzzles through adjustment costs or recursive preferences;

Materials:

chapter2.pdf Handout
chap2ppt.pdf Slides
data.xlsx Equity Premium Data (excel file)
lucas.mod Lucas’ Model (dynare file)
nj.mod Near-Jerman’s Model (dynare file)
lucasRU.mod Lucas’s Recursive Utility Model (dynare file)