printer friendly pageFINANCE 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 finally market design. Students should have had some previous doctoral-level 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.
Terms: Aut
| Units: 3
Instructors:
Duffie, D. (PI)
MGTECON 600: Microeconomic Analysis I
This course provides an introduction to the foundations of modern microeconomic theory. Topics include choice theory, with and without uncertainty, consumer and producer theory, dynamic choice and dynamic programming, social choice and efficiency, and fundamentals of general equilibrium.
Terms: Aut
| Units: 4
Instructors:
Sugaya, T. (PI)
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