FIN 585R
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Pre-PhD Finance Seminar
Course Description
Introduction to asset pricing theory using both analytical and numerical methods. Coverage includes the Capital Asset Pricing Model and Stochastic Discount Factor models. The empirical method of Generalized Method of Moments (GMM) is also introduced.
When Taught
Fall
Min
3
Fixed/Max
3
Fixed
3
Fixed
0
Title
Asset Pricing
Learning Outcome
Students will be able to understand the fundamental theorem of asset pricing and the consumption-based asset pricing model.
Title
Empirical Identification
Learning Outcome
Students will be able to understand the issues surrounding identification in empirical research.
Title
Simple Stochastic Processes
Learning Outcome
Students will be able to specify a simple stochastic process for dividends and solve the corresponding PDE for price.
Title
Black-Scholes
Learning Outcome
Students will be abel to derive the Black-Scholes PDE.
Title
Market Efficiency
Learning Outcome
Understand basic principles of market efficiency.
Title
Portfolio Optimization
Learning Outcome
Understand the mean-variance mathematics as it relates to portfolio optimization.
Title
Asset Pricing
Learning Outcome
Understand factor models and be able to implement time series and cross-sectional tests of asset pricing models used in financial research.
