NRE 5360

Last Updated

  • Schedule of Classes - May 16, 2024 7:30PM EDT
  • Course Catalog - May 16, 2024 7:07PM EDT

NRE 5360
Doctoral Seminar - Introduction to Asset Pricing Theory

Course information provided by the Courses of Study 2023-2024. Courses of Study 2024-2025 is scheduled to publish mid-June.

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.

View Enrollment Information

Syllabi: none

  •   Regular Academic Session. 

  • 3 Credits Opt NoAud

  • 11329 NRE 5360   LEC 001

  •  
    • MW To Be Assigned
    • Aug 26 - Dec 9, 2024

    • Staff

  • Instruction Mode: In Person
    Enrollment limited to: Doctoral students.
    Add/Drop Dates: 9:00 am, August 19, 2024 - 11:59 pm, September 9, 2024. Students will be assessed a $100 late fee and be required to obtain faculty permission to add/drop after September 9, 2024. If you drop after October 7, 2024, you will also receive a "W" on your transcript in addition to the late fees.