Asset Pricing – Part One
School: University of Chicago
Registration Link: Asset Pricing – Part 1
Start Date: January 18, 2015 (7 Weeks)
Workload: 10-15 Hours Per Week
Instructor: John Cochrane
Credentials: Cochrane teaches asset pricing and economics courses at the Ph.D. level (and an advanced investment course in the MBA program) at the University of Chicago’s Booth School of Business. A Ph.D. from the University of California-Berkeley, Cochrane is best known for Asset Pricing, one of the premier textbooks in the field. Outside of Booth – where he has taught over 20 years – Cochrane is a research associate at the National Bureau of Economic Research, a former President of the American Finance Association, and a former editor of Journal of Political Economy. He is also the recipient of Booth’s Faculty Excellence Award for MBA Teaching.
Graded: Not Specified.
Description: A quant’s dream, this Ph.D. level course focuses on theories and models underlying asset pricing (with the second emphasizing application of these concepts). According to Cochrane, students will learn “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.” In addition, the course will explain concepts like “beta, risk premium, risk-neutral price, arbitrage, equity premium, discount factor”…mean variance, linear models, contingent claims, and Factor Pricing Models like CAPM, ICAPM and APT. Students will be taught through weekly reading assignments, lecture videos, problem sets, and quizzes. The course will conclude with a final exam.
Review: “I have seen most of the materials before, but it was explained exceptionally well. Furthermore, the exercises are spot on and really add to the understanding of the material. Highly recommended if you work in asset pricing.” For additional reviews, click here.
Additional Note: To complete this course, Cochrane recommends the following: “Students should be able to use single and multivariable calculus, simple differential equations, matrix algebra, and basic statistics. They should be able to program simple simulations in a matrix programming language like Matlab, Octave, R, Python, Julia, etc. Students should have some background in economics, including utility functions and maximization, and have worked with basic time-series econometrics, such as AR(1) models.” In addition, the course requires that students set up a free JSTOR account.
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