Asset Pricing Summertime School
At to the lowest degree 1 academy is going to purpose this to a greater extent than formally: Require completion of the cast for their PhD students (either incoming or betwixt commencement in addition to instant year,) in addition to organize a TA in addition to grouping meetings or then the class. We direct keep constitute that this form of social scheme helps a lot for students to learn through online classes.
The course of didactics offers a costless “certificate” for achieving a certainly degree flat inwards the class, which gives an incentive to genuinely create the problems. Faculty tin terminate necktie achievement of the “certificate’ to whatsoever carrots in addition to sticks they desire to offer. For example, 1 teacher is going to process achievement of the “certificate” every bit an assignment for his autumn PhD class, in addition to include it inwards the grade.
Since the cast covers virtually of the basics, this construction may costless a faculty fellow member teaching side yesteryear side yr to focus the PhD classes on to a greater extent than advanced material. It’s too useful every bit a “flipped classroom,” allowing the faculty fellow member to pass less fourth dimension on algebra in addition to derivations, in addition to to a greater extent than on intuition, extensions, in addition to electrical current research.
This session won’t direct keep TAs on my part, though I volition monitor the forums in addition to attend to glitches every bit they crop up.
The cast is free. To sign upwards or reckon the classes, follow these links
Part 1: https://www.coursera.org/course/assetpricing
Part 2: https://www.coursera.org/course/assetpricing2
The cast sense consists of watching brusk lecture videos, doing the assigned reading, answering quzzes in addition to fairly extensive occupation sets, in addition to taking an exam. The course of didactics has give-and-take forums which are quite useful.
The cast starts side yesteryear side Monday, June 8. It is opened upwards for registration now, in addition to volition survive opened upwards for students to reckon materials in addition to laid about operate yesteryear the halt of the week. Part 1 (7 weeks) ends July 27, in addition to Part 2 (7 weeks) ends Sept 14. The 2 parts may survive taken independently. Students non wishing a degree may purpose these materials freely in addition to simply create whatsoever parts look interesting. I've too ready the grading pretty flexibly to allow people to conform their schedules rather than follow the calendar week yesteryear calendar week stiff schedule.
This is a fleck belatedly notice, but I promise weblog readers volition move yesteryear on notice to PhD students or prospective ones, in addition to to faculty members who are teaching PhDs inwards the autumn in addition to mightiness uncovering this resources useful.
The syllabus:
Part I
Week 1 Stochastic Calculus Introduction in addition to Review. dz, dt in addition to all that.
Week 2 Introduction in addition to Overview. Challenging Facts in addition to Basic Consumption-Based Model
Week three Classic issues inwards Finance. Equilibrium, Contingent Claims, Risk-Neutral Probabilities.
Week iv State-Space Representation, Risk Sharing, Aggregation, Existence of a Discount Factor.
Week five Mean-Variance Frontier, Beta Representations, Conditioning Information.
Week half dozen Factor Pricing Models -- CAPM, ICAPM in addition to APT.
Week vii Econometrics of Asset Pricing in addition to GMM. Final Exam
Part II
Week 1 a) The Fama in addition to French model b) Fund in addition to functioning evaluation.
Week 2 Econometrics of classic linear models.
Week three Time serial predictability, volatility in addition to bubbles.
Week iv Equity premium, macroeconomics in addition to property pricing.
Week five Option Pricing.
Week half dozen Term construction models in addition to facts.
Week vii Portfolio Theory in addition to Final Exam
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