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Coursera - Asset Pricing,The University of Chicago

Coursera - Asset Pricing, The University of Chicago
WEBRip | English | MP4 + PDF Guides | 960 x 540 | AVC ~253 kbps | 25 fps
AAC | 98.9 Kbps | 48.0 KHz | 2 channels | Subs: English (.srt) | 15:18:52 |
Genre: eLearning Video / Economics and Finance
Size: 2.48 GB

Are you curious about quantitative academic finance? Have you considered graduate study in finance? Are you working in an investment bank, money-management firm or hedge fund and you want to understand models better? Would you like to know what buzzwords like beta, risk premium, risk-neutral price, arbitrage, and discount factor mean? This class is for you.

We will see how one basic idea, price equals expected discounted payoff, unites everything - models that describe stocks, bonds, options, real investments, discrete time, continuous time, asset pricing, portfolio theory, and so forth.

We'll start with the underlying consumption-based model, and we'll preview the classic issues in finance. We'll think about asset pricing in a simple economic equilibrium. Then, we'll take a step back and study contingent claims and the theorems showing the existence of a discount factor (the m in p=E(mx)). We'll explore the mean-variance frontier and expected return vs. beta models and factor structures. A brief tour of current facts and puzzles follows. Then, off to study options and the Black-Scholes formula, bond pricing models and facts. We will close with modern portfolio theory.

The math in real finance is not actually that hard. Understanding how to use the equations, and see what they really mean about the world... that's hard, and that's what I hope will be uniquely rewarding about this class.


Part 1 syllabus:
Week 1: Stochastic Calculus Introduction and Review. dz, dt and all that.
Week 2: Introduction and Overview. Challenging Facts and Basic Consumption-Based Model.
Week 3:
Classic issues in Finance
Equilibrium, Contingent Claims, Risk-Neutral Probabilities.
Week 4: State-Space Representation, Risk Sharing, Aggregation, Existence of a Discount Factor.
Week 5: Mean-Variance Frontier, Beta Representations, Conditioning Information.
Week 6: Factor Pricing Models - CAPM, ICAPM and APT.
Week 7: Econometrics of Asset Pricing and GMM.
Final Exam

Part 2 is a separate course, which may be taken separately from Part 1. Here is the syllabus to whet your appetite:
Spring break (1 week)
Week 1: Factor pricing models in action
The Fama and French model
Fund and performance evaluation.
Week 2: Time series predictability, volatilty and bubbles.
Week 3: Equity premium, macroeconomics and asset pricing.
Week 4: Option Pricing.
Week 5: Term structure models and facts.
Week 6: Portfolio Theory.
Final Exam

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