
Asset Pricing Theory 2017 Spring
General Information

Lectures: Monday 9:00am11:45am, Xin Shang Yuan S208
 Office Hour: Wednesday 1:002:00pm or by appointment
 Office: Baotu #1706
 Phone: 02152301191
 Email: jhqian At sjtu.edu.cn
Prerequisites
 Econometrics I (advanced probability and statistics)
Outline
 Introduction to General Asset Pricing Theory
 Mathematical Background for Continuoustime Finance
 Arbitrage Pricing in Continuous Time
 Term Structure Modeling
 Econometric Issues
Grading
 Four problem sets (20%) and final exam (80%). Group study is allowed for problem sets. The exam is closebook.
Homeworks
Textbooks
The following books are helpful:
 Darrell Duffie, Dynamic Asset Pricing Theory, Princeton University Press, 2001
 John H. Cochrane, Asset Pricing, Princeton University Press, 2005
 Stephen F. LeRoy and Jan Werner, Principles of Financial Economics, Cambridge University Press, 2014
 RoseAnne Dana and Monique Jeanblanc, Financial Markets in Continuous Time, Springer, 2007
 Shreve, S.E., Stochastic Calculus for Finance I and II, Springer, 2000
 约翰·C·赫尔，期货期权入门，中国人民大学出版社，2000
 Karatzas, I. and Shreve, S.E., Brownian Motion and Stochastic Calculus, 2nd Ed., 世界图书出版社
Last updated: Feb 19, 2017 
