Asset Pricing Theory 2019 Spring

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General Information

  • Lectures: Tuesday 12:55-15:40, Xin Shang Yuan S202
  • Office Hour: Wednesday 1:00-2:00pm or by appointment
  • Office: Baotu #1706
  • Phone: 021-52301191
  • Email: jhqian At sjtu.edu.cn

Prerequisites

  • Econometrics I (advanced probability and statistics)

Outline

  • Introduction to General Asset Pricing Theory
  • Mathematical Background for Continuous-time 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 close-book.

Homeworks

Textbooks

The following books are helpful:

  1. Darrell Duffie, Dynamic Asset Pricing Theory, Princeton University Press, 2001
  2. John H. Cochrane, Asset Pricing, Princeton University Press, 2005
  3. Stephen F. LeRoy and Jan Werner, Principles of Financial Economics, Cambridge University Press, 2014
  4. Rose-Anne Dana and Monique Jeanblanc, Financial Markets in Continuous Time, Springer, 2007
  5. Shreve, S.E., Stochastic Calculus for Finance I and II, Springer, 2000
  6. 约翰·C·赫尔，期货期权入门，中国人民大学出版社，2000
  7. Karatzas, I. and Shreve, S.E., Brownian Motion and Stochastic Calculus, 2nd Ed., 世界图书出版社
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