NRE 5360

NRE 5360

Course information provided by the Courses of Study 2019-2020.

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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Enrollment Information
Syllabi: 1 available
  •   Regular Academic Session. 

  • 3 Credits Opt NoAud

  • 15917NRE 5360  LEC 001

  • ****S/U or Letter Grade Only – NO AUDITS ALLOWED**** Deadline to change grade option: October 24, 2019 @4pm Non-Johnson Students ONLY: August 20th at 8:00am thru September 12th at 4:00pm. You may add or drop a full semester class after September 12th 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 24th you will also receive a "W" on your transcript in addition to the late fees. There will be no enrollment from a wait list into a class if you have a time conflict or will put you over your maximum allowed credits.