date_range Débute le 8 juin 2015
event_note Se termine le 27 juillet 2015
list 7 séquences
assignment Niveau : Introductif
chat_bubble_outline Langue : Anglais
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Les infos clés

credit_card Formation gratuite
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timer 70 heures de cours

En résumé

This course is part one of a two-part introductory survey of graduate-level academic asset pricing. We will focus on building the intuition and deep understanding of how the theory works, how to use it, and how to connect it to empirical facts. This first part builds the basic theoretical and empirical tools around some classic facts. The second part delves more deeply into applications and empirical evaluation.

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Le programme

Part 1 syllabus:
  • Week 1: Stochastic Calculus Introduction and Review. dz, dt and all that. 
  • Week 2: Introduction and Overview. Challenging Facts and Basic Consumption-Based Model. 
  • Week 3:
    • Classic issues in Finance
    • Equilibrium, Contingent Claims, Risk-Neutral Probabilities.
  • Week 4: State-Space Representation, Risk Sharing, Aggregation, Existence of a Discount Factor.
  • Week 5: Mean-Variance Frontier, Beta Representations, Conditioning Information. 
  • Week 6: Factor Pricing Models -- CAPM, ICAPM and APT. 
  • Week 7: Econometrics of Asset Pricing and GMM.  
  • Final Exam
Part 2 is a separate course, which may be taken separately from Part 1. Here is the syllabus to whet your appetite: 
  • Spring break (1 week)
  • Week 1: Factor pricing models in action
    • The Fama and French model
    • Fund and performance evaluation.
  • Week 2: Time series predictability, volatilty and bubbles.
  • Week 3: Equity premium, macroeconomics and asset pricing.
  • Week 4: Option Pricing.
  • Week 5: Term structure models and facts.
  • Week 6: Portfolio Theory.
  • Final Exam
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Les intervenants

  • John Cochrane - Booth School of Business
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Le concepteur

One of the world's premier academic and research institutions, the University of Chicago has driven new ways of thinking since our 1890 founding. Today, UChicago is an intellectual destination that draws inspired scholars to our Hyde Park and international campuses, keeping UChicago at the nexus of ideas that challenge and change the world.
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La plateforme

Coursera est une entreprise numérique proposant des formation en ligne ouverte à tous fondée par les professeurs d'informatique Andrew Ng et Daphne Koller de l'université Stanford, située à Mountain View, Californie.

Ce qui la différencie le plus des autres plateformes MOOC, c'est qu'elle travaille qu'avec les meilleures universités et organisations mondiales et diffuse leurs contenus sur le web.

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