NRE 5360

Last Updated

  • Schedule of Classes - October 30, 2025 7:09PM EDT

NRE 5360
Doctoral Seminar - Introduction to Asset Pricing Theory

Course information provided by the 2025-2026 Catalog.

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.


Last 4 Terms Offered 2025FA, 2023FA, 2021FA, 2019FA

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Syllabi:

  •   Regular Academic Session. 

  • 3 Credits Opt NoAud

  • 18484 NRE 5360   LEC 001

    • MW
    • Aug 26 - Aug 28, 2025

    • Jarrow, R

    • MW
    • Sep 3 - Oct 1, 2025

    • Jarrow, R

    • W
    • Oct 8, 2025

    • Jarrow, R

    • M
    • Oct 6, 2025

    • Jarrow, R

    • MW
    • Oct 15 - Dec 3, 2025

    • Jarrow, R

    • M
    • Dec 8, 2025

    • Jarrow, R

  • Instruction Mode: In Person

    Enrollment limited to: Accounting Doctor of Philosophy (PhD) students.

    Instructor Consent Required (Add)