Asset Pricing, Part 1

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