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Indiana University Bloomington

Department of Finance

  1. F600
    Asset Pricing Theory
    • 15-weeks
    • 3 credits
    • Prerequisite: None

    This course will build the foundation for all of the finance courses to follow. Specifically, there are four goals for each student to obtain: develop a fundamental knowledge of asset pricing theory under perfect capital markets, develop key analytic tools and modeling skills, develop basic academic writing skills, and gain exposure to state-of-the-art research.

    Outline of Topics Covered:

    1. An Introduction to No Arbitrage Pricing and Continuous Time
    2. Asset Valuation
    3. Finite-lived Assets
    4. Options, Forwards, and Futures
    5. Bond Pricing Basics
    6. Term Structure Dynamics
    7. Individual Optimization
    8. Single Period Asset Pricing
    9. Multi-Period Asset Pricing in Discrete Time
    10. Multi-Period Asset Pricing in Continuous Time
    11. International Asset Pricing
    12. Transaction Costs and Spatial Separation

    Typical Text:

    Options, Futures, and Other Derivatives, Second Edition by John Hull

    Finance in Continuous Time: A Primer by David C. Shimko