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Program

Updated A.Y. 2021-2022

We will cover the following topics.
Stochastic discount factor
Market efficiency and anomalies
Complete market, Arrow-Debreu securities, completing the market. 
Pricing, by no-arbitrage, in a one-period model.
Expected Utility and Risk preference
General equilibrium and the equity premium puzzle
Some model-free results in option pricing.
Pricing in continuous time (Black and Scholes PDE, and Lucas model)

 

Grade Assessment: The final grade is based on homework assignments and a written final exam (equal weights).