NRE 5360

NRE 5360

Course information provided by the Courses of Study 2021-2022.

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

  • 14172 NRE 5360   LEC 001

    • W Online Meeting
    • Nov 10, 2021
    • Jarrow, R

  • Instruction Mode: In Person
    Non-Johnson Students ONLY: ****S/U or Letter Grade Only – NO AUDITS ALLOWED**** Deadline to change grade option: October 21st 11:59pm Add/Drop Dates: August 17th at 8:00am thru September 9th at 11:59pm. After September 9th permission of the instructor is required to add/drop and a late fee of $100.00 will be charged. If you are dropping after October 21st 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.