Topics in Dynamic Asset Pricing
GSM MF 921
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. Particular emphasis will be placed on (i) consumption-portfolio choice problems and (ii) equilibrium asset pricing models. Advances involving non-separable preferences, incomplete information and heterogeneous agents will be discussed.
SPRG 2017 Schedule
|A1||TBA||T 6:30 pm-9:30 pm|