资产定价

Asset Pricing

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         开始时间：2015-01-18                  持续时间：9.0周/每周10.0-15.0小时

语言：  英文授课                            分类：经济管理平台

【课程简介】

      This course is an 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.

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【课程内容】

       Are you curious about quantitative academic finance? Have you considered graduate study in finance? Are you working in an investment bank, money-management firm or hedge fund and you want to understand models better? Would you like to know what buzzwords like beta, risk premium, risk-neutral price, arbitrage, and discount factor mean? This class is for you.

      We will see how one basic idea, price equals expected discounted payoff, unites everything - models that describe stocks, bonds, options, real investments, discrete time, continuous time, asset pricing, portfolio theory, and so forth.

      We"ll start with the underlying consumption-based model, and we’ll preview the classic issues in finance. We’ll think about asset pricing in a simple economic equilibrium. Then, we"ll take a step back and study contingent claims and the theorems showing the existence of a discount factor (the m in p=E(mx)). We"ll explore the mean-variance frontier and expected return vs. beta models and factor structures. A brief tour of current facts and puzzles follows. Then, off to study options and the Black-Scholes formula, bond pricing models and facts. We will close with modern portfolio theory.

     The math in real finance is not actually that hard. Understanding how to use the equations, and see what they really mean about the world... that"s hard, and that"s what I hope will be uniquely rewarding about this class.

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【课程链接】

http://mooc.guokr.com/course/576/Asset-Pricing/