Description: Covers advanced topics in the theory of financial markets with a focus on continuous time models. Topics include: multiperiod securities markets and martingales; pricing of contingent securities such as options; optimal consumption and portfolio problems of an individual; dynamic equilibrium theory and the Intertemporal Capital Asset Pricing Model; term structure of interest rates; and equilibrium with asymmetric information, transaction costs, and borrowing constraints. Primarily for doctoral students in accounting, economics, and finance.
Course #: 15.440
Professor(s) who recently taught this course:
Hui Chen
Leonid Kogan
Konstantin Milbradt