Asset Pricing Theory(MGTF 411)
Graduate course, University of California, San Diego, 2025
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: There will be no TA sessions for this course
There will be a review session for exam. Time and location are TBD.
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
- Week 3: Black-Scholes Model