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| FIN 872 |
Continuous-Time Asset Pricing |
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1.5 hours |
Elective |
Terms Offered: W12(B), W13(B) |
| | Advisory Prerequisites: Doctoral standing |
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Continuous-Time Asset Pricing --- This is an introduction to continuous-time finance for second Ph.D students. The course begins with a description of continuous-time stochastic processes. It then reviews the derivations of some classic asset-pricing models, including Meron's Intertemporal CAPM and the Black-Scholes formula. The class concludes by discussing general no-arbitrage results and some bon-pricing models. |
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