Type of Credit: Required
Credit(s)
Number of Students
This course introduces fundamental economic theories that basic asset pricing models are based on. After the derivation of CAPM, we will move on to a brief introduction on contingent claims and proceed with more modern setup of stochastic discount factor.
能力項目說明
To equip the Ph.D. students with fundamental knowledge in finance, especially in the branch of asset pricing.
Final Exam (95%) and Class Participation (5%)
Cochrane John H 2005. Asset pricing (Princeton University Press Revised edition. Princeton and Oxford).
Huang Chi fu and Robert H Litzenberger 1988. Foundations for financial economics (North-Holland; distributed in the U.S. and Canada by Elsevier Science N.Y. New York; Amsterdam and London).
Campbell, John Y. 2018. Financial Decisions and Markets (Princeton University Press).
Ingersoll Jonathan E Jr 1987. Theory of Financial Decision Making (Littlefield Adams; Rowman and Littlefield Rowman and Littlefield Studies in Financial Economics Totowa N.J.).
Campbell John Y Andrew W Lo and A Craig MacKinlay 1997. The Econometrics of Financial Markets (Princeton University Press Princeton).
Constantinides George M Milton Harris and Rene Stulz 2003. Handbook of the economics of finance. Volume 1A. Corporate finance (Elsevier North Holland Handbooks in Economics vol. 21. Amsterdam; London and New York).
Constantinides George M Milton Harris and Rene Stulz 2003. Handbook of the economics of finance. Volume 1B. Financial markets and asset pricing (Elsevier North Holland Handbooks in Economics vol. 21. Amsterdam; London and New York).
Cox John C. and Mark Rubinstein 1985. Options Market (Prentice-Hall Inc. Englewood Clifs New Jersey).
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Please find the class materials on Moodle.