Asset Pricing
By John Cochrane
Asset pricing theory tries to understand the prices or values of claims to uncertain payments. A low price implies a high rate of return, so one can also think of the theory as explaining why some assets pay higher average returns than others.
The course is in two parts, presented in 2013 & 2015; It reviews different theories of asset pricing. I also included the lecture slides, books, weekly discussion and transcript. Homework and lecture quizzes are provided in html format. End of class comprehensive exams are also included in this product. You can see the weekly topics below:
- Week 1 Stochastic Calculus Introduction and Review
- Week 2a Facts
- Week 2b Asset Pricing Theory Overview
- Week 3 Classic Issues in Finance
- Week 4a Contingent Claims, State Prices, Risk-Neutral Probabilities
- Week 4b Incomplete Markets
- Week 5a Mean-Variance Frontier
- Week 5b Existence & Equivalence
- Week 5c Conditioning Information
- Week 6 Factor Pricing Models – CAPM, ICAPM, APT
- Week 7 GMM
- Week 8a The FamaFrench Model
- Week 8b Fund and Performance Evaluation
- Week 9 Classic Linear Models
- Week 10 Time Series Predictability, Volatilility, and Bubbles
- Week 11 Equity Premium, Macroeconomics, and Asset Pricing
- Week 12 Option Pricing
- Week 13 Bonds
- Week 14 Portfolio Theory
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