Asset Pricing, Part 1

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来源：www.coursera.org

7个序列

等级：入门

金融

语言：英语

560分

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关键信息

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免费证书

70小时总数

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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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课程大纲

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

教师

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John Cochrane - Booth School of Business

内容设计师

重头开始

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