Asset Pricing

开始时间: 06/08/2015 持续时间: 7 weeks

所在平台: Coursera

课程类别: 经济与金融

大学或机构: The University of Chicago(芝加哥大学)

授课老师: John H. Cochrane



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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.


Week 1: Introduction and Overview, Challenging Facts and Basic Consumption-Based Model

Week 2: Classic issues in Finance; Equilibrium, Contingent Claims, Risk-Neutral Probabilities

Week 3: State-Space Representation, Risk Sharing, Aggregation, Existence of a Discount Factor

Week 4: Mean-Variance Frontier, Beta Representations, Conditioning Information

Week 5: Factor Pricing Models, Value Premium, the Fama-French model 

Week 6: Options and Bonds, Relative Pricing in Action, Term Structure Definitions

Week 7: Term Structure Models

Week 8: Portfolio Theory





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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