Pre-PhD Finance Seminar

Pre-PhD Finance Seminar
Introduction to asset pricing theory using both analytical and numerical methods. Coverage includes the Capital Asset Pricing Model and Stochastic Discount Factor models. The empirical method of Generalized Method of Moments (GMM) is also introduced.
FIN
485
 Hours3.0 Credit, 3.0 Lecture, 0.0 Lab
 PrerequisitesNone
 TaughtFall
Course Outcomes

Asset Pricing

Students will be able to understand the fundamental theorem of asset pricing and the consumption-based asset pricing model.

Empirical Identification

Students will be able to understand the issues surrounding identification in empirical research.

Simple Stochastic Processes

Students will be able to specify a simple stochastic process for dividends and solve the corresponding PDE for price.

Black-Scholes

Students will be abel to derive the Black-Scholes PDE.

Market Efficiency

Understand basic principles of market efficiency.

Portfolio Optimization

Understand the mean-variance mathematics as it relates to portfolio optimization.

Asset Pricing

Understand factor models and be able to implement time series and cross-sectional tests of asset pricing models used in financial research.