NRE 5360

NRE 5360

Course information provided by the Courses of Study 2023-2024.

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

  • 19101 NRE 5360   LEC 001

  • Instruction Mode: In Person
    Enrollment limited to: Doctoral Students Only Add/Drop Dates: August 14th at 9:00 am through September 5th at 11:59 pm. Starting September 6th, permission of the instructor is required to add/drop and a late fee of $100 will be charged. If you are dropping on or after October 16th, you will also receive a "W" on your transcript in addition to the late fee.