FIN 705 Asset Pricing Theory and Applications
This course is a review of asset pricing theory, with an emphasis on discount-factor models and generalized method of moments (GMM) procedure. The discount factor, as a unifying framework, calculates prices of stocks, bonds and options in terms of price-dividend ratios, expected return-beta representations, returns, moment conditions, continuous versus discrete-time implication, etc. The topics presented in the course provide a rigorous grounding in key aspects of the field of asset pricing that allows the student to conduct academic research in topics related to portfolio optimization, investment or risk management, among others. At the same time, the student will gain an appreciation of the common foundation of the topics presented.