Dynamic Asset Pricing Theory

This course is an introduction to multiperiod models in finance, mainly pertaining to optimal portfolio choice and asset pricing. The course begins with discrete-time models for portfolio choice and security prices, and then moves to a continuous-time setting. The topics then covered include advanced derivative pricing models, models of the term structure of interest rates, the valuation of corporate securities, portfolio choice in continuous-time settings, and finally finally market design. Students should have had some previous doctoral-level exposure to general equilibrium theory and some basic courses in investments. Strong backgrounds in calculus, linear algebra, and probability theory are recommended. Problem assignments are frequent and, for most students, demanding. Prerequisite: F620 and MGTECON600 (or equivalent), or permission of instructor.