Asset Pricing Theory(MGTF 411)

Information

Asset Pricing Theory. This course was previously named as “Stochastic Calculus and Continuous-Time Finance”

Subjects: (1) Model for Financial asset prices: Brownian motions (random walk); (2) Theory of stock prices: CCAPM, excess volatility, equity premium; (3) Term structure models: Vasicek Model and CIR model. (4) Portfolio choice: stocks for the long run?

• Office Hour: Monday 3-4 pm
• TA Session: Monday 2-3 pm, WFH 3N128

Final Review Session: Thursday(5/29), 4pm-6pm OTRSN 1E107

Schedule & Notes

• Week 1: Binomial Model
  • Handout 1: Arbitrage and FTAP
• Week 2: Introduction to Continuous Time Model
  • Handout 2a: Conditional Expectation
  • Handout 2b: More on Brownian Motions Handout 2: BM
• Week 3: Black-Scholes Model
  • Handout 3a: Handout 3a: Stochastic Calculus
• Week 4: Risk-Neutral Measure
  • Handout 4: To be completed

• Week 5: Stocks for the Long Run

• Week 6: Price Model for Multiple Stocks

• Week 7: Excess Volatility

• Week 8: Consumption CAPM

• Week 9: Student Presentation

• Week 10: Final Exam