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FINANCE 622: Dynamic Asset Pricing Theory

This course is an introduction to multiperiod models in finance, mainly pertaining to optimal portfolio choice and asset pricing. The course begins with discrete-time models for portfolio choice and security prices, and then moves to a continuous-time setting. The topics then covered include advanced derivative pricing models, models of the term structure of interest rates, the valuation of corporate securities, portfolio choice in continuous-time settings, and finally general-equilibrium and over-the-counter asset pricing models. Students should have had some previous exposure to general equilibrium theory and some basic courses in investments. Strong backgrounds in calculus, linear algebra, and probability theory are recommended. Problem assignments are frequent and, for most students, demanding. Prerequisite: F620 and MGTECON600 (or equivalent), or permission of instructor.
Units: 4 | Grading: GSB Letter Graded
Instructors: ; Duffie, D. (PI); Berg, S. (GP)

FINANCE 632: Empirical Dynamic Asset Pricing

This course explores the interplay between dynamic asset pricing theory, statistical assumptions about sources of risk, and the choice of econometric methods for analysis of asset return data. Therefore, the lectures will be a blend of theory, econometric method, and critical review of empirical studies. Both arbitrage-free and equilibrium preference-based pricing models will be discussed, with particular emphasis given to recent developments and outstanding puzzles in the literature. The prerequisites for F632 are MGTECON 603 - 604, Finance 620, Finance 622, and Finance 625. In particular, I will assume familiarity with dynamic asset pricing theory, at the level of F622; and large-sample theory for least-squares, generalized method-of-moments, and maximum likelihood estimation methods. We will review these methods in the context of specific applications, but this material will not be developed in depth.
Units: 3 | Grading: GSB Letter Graded
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