Full course description

Course Date:

Starts Aug 21, 2017

Duration:

Ongoing

Commitment:

7+ hours

Requirement:

See prerequisites below

Course Type:

Self-paced

Credential:

None

Description

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.

Objectives

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.

Course Instructors

John Cochrane

John Cochrane

Instructor

John H. Cochrane is a Senior Fellow of the Hoover Institution at Stanford University. His monetary economics publications include articles on monetary policy and the fiscal theory of the price level. Read More.

His finance publications include the book Asset Pricing, and articles on dynamics in stock and bond markets, the volatility of exchange rates, the term structure of interest rates, the returns to venture capital, liquidity premiums in stock prices, the relation between stock prices and business cycles, and option pricing when investors can’t perfectly hedge. He has also written articles on macroeconomics, health insurance, time-series econometrics, financial regulation, and other topics. He was a coauthor of The Squam Lake Report. He writes occasional Op-eds, mostly in the Wall Street Journal, and blogs as “the Grumpy Economist” at johnhcochrane.blogspot.com

Cochrane is also a Senior Fellow of the Stanford Institute for Economic Policy Research (SIEPR), Professor of Finance and Economics (by Courtesy) at Stanford GSB, Distinguished Senior Fellow of the University of Chicago Booth School of Business, and of the Becker-Friedman Institute, a Research Associate of the National Bureau of Economic Research, and an Adjunct Scholar of the CATO Institute. He is a past President and Fellow of the American Finance Association, and a Fellow of the Econometric Society. He has been an Editor of the Journal of Political Economy, and associate editor of several journals including the Journal of Monetary Economics, Journal of Business, and Journal of Economic Dynamics and Control and director of the NBER asset pricing program. Recent awards include the TIAA-CREF Institute Paul A. Samuelson Award for his book Asset Pricing, the Chookaszian Endowed Risk Management Prize, the Faculty Excellence Award for MBA teaching and the McKinsey Award for Outstanding Teaching.

Emily Joy Bembeneck

Emily Joy Bembeneck

Facilitator

Emily Joy Bembeneck is the Associate Director of Pedagogical Innovation at the University of Chicago, where she works to design and implement innovative solutions to support students and faculty. Read More.

She received her Ph.D. in Classics from the University of Michigan, where she studied the theoretical framework of narratives in oral and digital stories. She designs games in her free time with the help of her two cats, Grim M. Cuddlesworth and Mable the Girlcat.

Nina Karnaukh

Nina Karnaukh

Teaching Assistant

Nina Karnaukh is an Assitant Professor of Finance at the Fisher College of Business at the Ohio State University. Read More.

She earned her Ph.D. in Finance from the University of St. Gallen. She was a visiting PhD student at Wharton and Booth. Her thesis on exchange rates and monetary policy got the prize for the best dissertation in PhD Program in Economics and Finance in 2017. She also holds a Bachelor and Master Degree in Computer Science from the Kyiv Polytechnic University.