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Teaching & Courses

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