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Finance 487: Dynamic Asset Pricing Theory Winter 2012 Course
Information Prerequisite: Finance 485 (Introduction to Financial Theory). Description: This course offers an in-depth
introduction to competitive asset pricing theory in dynamic settings. The
main topics are dynamic trading, the arbitrage pricing of derivative securities,
foundations of dynamic choice, consumption-based asset pricing and optimal
consumption/portfolio choice using recursive utility. Both discrete-time
models and continuous-time methodology are covered. The necessary
mathematical tools are introduced, including some martingale theory, the Ito
calculus, and the theory of backward SDEs. Texts:
Asset Pricing Theory, Costis Skiadas, Princeton Univ. Press; Dynamic Asset Pricing
Theory, Darrell Duffie, Princeton
Univ. Press. Homework: Weekly assignments. Students are encouraged
(although they don’t have) to work together on these assignments but must
turn in individually prepared complete solutions. As in all academic work,
the use of ideas and results from classmates or other sources should be
carefully documented and acknowledged. Exams: Some of
the questions assigned will be labeled as exam questions, in which case there
can be no cooperation. Grading: 70% homework, 30% exams. TA: TBA |
