Asset Pricing
开始时间: 04/22/2022
持续时间: 7 weeks
课程主页: https://www.coursera.org/course/assetpricing
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课程详情
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.
课程大纲
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
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