Updated A.Y. 2022-2023
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).