Advanced Capital Markets

GSM FE 920

This course provides a comprehensive and in-depth treatment of modern asset pricing theories. Extensive use is made of continuous time stochastic processes, stochastic calculus and optimal control. In particular, martingale methods are employed to address the following topics: (i) optimal consumption-portfolio policies and (ii) asset pricing in general equilibrium models. Recent advances involving nonseparable preferences, incomplete information, incomplete markets, constraints and agents diversity will be discussed.

SPRG 2017 Schedule

Section Instructor Location Schedule Notes
F1 W 6:30 pm-9:30 pm Doctoral course
open to MBA
students with
instructor
permission.

Note that this information may change at any time. Please visit the Student Link for the most up-to-date course information.