Type of Credit: Required
Credit(s)
Number of Students
This course is designed to teach the theory of asset pricing and equip students with professional knowledge for advanced research. Through the lecture, students would learn to read theoretical papers as well as to construct toy theoretical models. Finally, the numerous empirical research will be discussed in the lecture for students to understand how to proceed with the research in the field of asset pricing.
能力項目說明
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This course is designed to teach the theory of asset pricing. Students will learn the foundation of the asset pricing model, learn to read theoretical pricing papers, and will be equipped with the skills to construct the toy theoretical model. |
| 教學週次Course Week | 彈性補充教學週次Flexible Supplemental Instruction Week | 彈性補充教學類別Flexible Supplemental Instruction Type |
|---|---|---|
Week 1 Introduction
Week 2 and 3 Black-Scholes-PDE and Black-Scholes-Merton Options Pricing Model
Week 4 Portfolio Theory and The Capital Asset Pricing Model
Week 5 Consumption Base and Production Base Capital Asset Pricing Model
Week 6+7 Investment Base Capital Asset Pricing Model
Week 8 Mid-term
Week 9+10 Information Base Capital Asset Pricing Model
Week 11 Empirical Works Review (Pricing Factor)
Week 12 Behavior Finance and Related Empirics
Week 12+13 Options Implied Market and Stock Returns and Volatility
Week 13 Student Presentation: Paper Review
Week 14 Final exam
Mid-term 25%
Final exam 25%
Student Paper Review 30%
Participation 20%
We will mainly go through papers. You can use the following reference textbook.
Robert H. Litzenberger, and Chi-fu Huang, Foundations for Financial Economics (Prentice Hall,)
Cochrane, Asset Pricing, Revised Edition, Princeton University Press
John Hull, Options, Futures, and Other Derivatives,