list 7 sequencias
assignment Nível: Introdutório
chat_bubble_outline Idioma: Inglês
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Informações principais

credit_card Free accesso
verified_user Certificado gratuito
timer 70 total de horas

Sobre o conteúdo

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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Programa de estudos

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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Instrutores

  • John Cochrane - Booth School of Business
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Criador do conteúdo

The University of Chicago
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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Plataforma

Coursera

A Coursera é uma empresa digital que oferece um curso on-line massivo e aberto, fundado pelos professores de computação Andrew Ng e Daphne Koller Stanford University, localizado em Mountain View, Califórnia.

O Coursera trabalha com as melhores universidades e organizações para disponibilizar alguns dos seus cursos on-line e oferece cursos em várias disciplinas, incluindo: física, engenharia, humanidades, medicina, biologia, ciências sociais, matemática, negócios, ciência da computação, marketing digital, ciência de dados. e outros assuntos.Cours

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