FIN501: Asset Pricing I

Semester: 

Fall

Offered: 

2015
An introduction to the modern theory of asset pricing. Topics include: No arbitrage, Arrow-Debreu prices and equivalent martingale measure; security structure and market completeness; mean-variance analysis, Beta-Pricing, CAPM; introduction to derivative pricing and "friction finance".
00fin501_syllabus_f2015_a.pdf121 KB
Fin501_LectureNotes.pdf4.86 MB
01a_lecture_empirical_regularities.pdf4.85 MB
02a_one_period_model.pdf1.19 MB
03a_oneperiodpricing.pdf4.92 MB
04 Risk Preferences.pdf1.52 MB
05 GE, Efficiency, Representative Agent.pdf1.05 MB
06 Equity Premium Puzzle.pdf531 KB
06a_capm.pdf1.33 MB
07 Multiperiod Framework.pdf2.21 MB
08 Multiperiod Options.pdf823 KB
09 Multiperiod Fixed Income Bonds.pdf1.23 MB
10 Multiperiod Futures & Swaps.pdf1.44 MB
11 Multiperiod Equilibrium Models: Hedging Demand and ICAPM.pdf694 KB
12 FrictionFinance.pdf1.08 MB
13 Factor Models.pdf5.77 MB
14 Market Efficiency.pdf1.14 MB