Are you curious about quantitative academic finance? Have you considered graduate study in finance? Are you working in an investment bank, money-management firm or hedge fund and you want to understand models better? Would you like to know what buzzwords like beta, risk premium, risk-neutral price, arbitrage, equity premium, and discount factor mean? This class is for you. We will see 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.
The course freely uses calculus and basic linear algebra, plus simple statistics — you should know what a random variable is, an expectation, and basic time series such as an AR(1). Knowing how to use a computer and run a regression is useful.
The course will walk you through broad range of finance topics, including continuous-time overview, facts, classic issues, discount factor, mean-variance frontier, factor pricing models, GMM, Fama-French model and performance evaluation, econometrics of classical linear models, time series predictability, options, bonds, as well as lectures on interaction between equity premium, macroeconomics and asset pricing.
Prerequisites: Calculus, basic linear algebra, and simple statistics.
Target Audience: Undergraduate and graduate students interested in academic finance; investment bank, money-management firm and hedge fund employees; anyone eager to understand asset pricing better.
Course is offered by The University of Chicago Booth School of Business.