Course Descriptions

Course catalog descriptions for courses offered in all currently published terms.

Finance

 
FIN 872 Continuous-Time Asset Pricing
  1.5 hours Elective Terms Offered: W13(B), W14(B)
  Advisory Prerequisites: Doctoral standing 
   
  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.