The course is designed for PhD students who have taken a year of PhD level economics
In general, you should have some Ph.D.-level macroeconomics, finance or statistics/econometrics
before taking this course. I will use without much fanfare concepts like a representative consumer and
dynamic program (macroeconomics); expected returns, betas, and facts about returns like predictability
(finance); and basic time series tools like autocorrelations, VAR models, diffusion models
Course Enrollment Limitations
The course is only offered to the students of the study fields the course is directly associated with.
Fields of study the course is directly associated with
there are 10 fields of study the course is directly associated with, display
This course is a survey of asset pricing theory, emphasizing a discount-factor and GMM approach. The
discount factor is a unifying framework: p=E(mx) covers everything, stocks, bonds, options, real
investments, discrete time, continuous time, asset pricing, portfolio theory, etc.
1) CONSUMPTION-BASED ASSET PRICING
2) CAPM, ICAPM, APT, CONDITIONING INFO
3) TERM STRUCTURE OF INTEREST RATES
4) OPTION PRICING
Shreve S. E., Stochastic Calculus for Finance I: The Binomial Asset Pricing Model, Springer
COCHRANE, John H. Asset pricing. Rev. ed. Princeton: Princeton University Press, 2005. xvii, 533. ISBN 0691121370. info
Hansen, Lars Peter and Scott F. Richard, 1987, “The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models” Econometrica 55, 587-613.
Lucas, Robert E. Jr, 1978, “Asset Prices in An Exchange Economy’’ Econometrica 46, 1429-1455.
Shreve S. E., Stochastic Calculus for Finance II (recommended), Springer
The grade will be based on max(25% problem sets + 75% exam, 100% exam)
Language in which the course is taught
The course can also be completed outside the examination period.