NRE 5360

Last Updated

  • Schedule of Classes - January 7, 2018 7:14PM EST
  • Course Catalog - January 7, 2018 7:15PM EST

NRE 5360
Doctoral Seminar - Introduction to Asset Pricing Theory

Course information provided by the Courses of Study 2017-2018.

This course is an introductory Ph.D.-level course on the basic theories of asset pricing. It consists of three parts. The first part covers arbitrage pricing theory, including the Black Scholes Merton, the Heath Jarrow Morton, and reduced form credit risk models. The second part covers portfolio theory, in both complete and incomplete markets. The third part studies equilibrium pricing models, both complete and incomplete markets, including the notion of market efficiency. This course emphasizes continuous time models and it is based on the use of martingales to understand asset pricing theory. Included in the course is the extensions of the standard theories to include asset price bubbles.

When Offered Fall.

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Syllabi: none

  •   Regular Academic Session. 

  • 3 Credits Opt NoAud

  • 17181 NRE 5360   LEC 001

  • Non-Johnson Students ONLY: August 15th at 8:00am thru September 5th at 4:00pm. You may add or drop a full semester class after September 5th with permission of the faculty. A late fee of $100.00 will be charged for each add or drop transaction. If you are dropping after October 17th you will also receive a "W" on your transcript in addition to the late fees.

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