Asset Pricing, Part 1

Name: Asset Pricing, Part 1
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Author: The University of Chicago

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МООК

Английский

70 h

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From www.coursera.org

Conditions

Self-paced
Free Access
Бесплатный сертификат

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7 Sequences
Introductive Level

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Course details

Syllabus

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

Prerequisite

None.

Instructors

John Cochrane - Booth School of Business

Editor

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