Asset pricing (FNCE 7550)

Asset pricing (FNCE 7550)
Fall 2008

Syllabus

Dec 15, 2008

Just for completeness, here is Brandt and Santa-Clara (2006, JF)

Dec 4, 2008

In case any one is interested, here is the Avramov (2002, JFE) paper I mentioned.

Dec 1, 2008

The really last paper will be:

Wed, Dec 10: Brandt, Santa-Clara and Valkanov (forthcoming in RFS), presented by Robert.

Nov 24, 2008

The last paper will be:

Mon, Dec 8: Bollerslev, Tauchen and Zhou (2008), presented by Nhan.

Nov 18, 2008

The papers for the week after Fall break are as follows:

Mon, Dec 1: Fama and French (1992, JF), presented by Pai.
Wed, Dec 3: Avramov (2004, RFS), presented by Ying.

Nov 5, 2008

Reminder: no class on Monday Nov 10.

HW 6 (due Mon Nov 17)

This paper may be useful in understanding more about the paper by Bakshi, Kapadia, and Madan (2003) discussed today in class: Britten-Jones and Neuberger (2000, JF).

The papers for the next two weeks are as follows:

Wed, Nov 12: Pan (2002, JFE), presented by Ida
Mon, Nov 17: Jones (2003, JoE), presented by Jun
Wed, Nov 19: Christoffersen, Jacobs and Mimouni (2007), presented by Jeff

For each of these papers, please write a short discussion to be handed on the day of the presentation. This discussion should be about 2-3 pages and may include a summary of the paper's findings, critique of the methods and/or results, comments on things you found interesting, or ideas for related research.

Nov 5, 2008

Here is the solution to hw 5.

Nov 4, 2008

Here are the slides on option pricing.

Please have a look at this paper for Wednesday: Bakshi, Kapadia and Madan (2003, RFS).

Oct 29, 2008

Updated continuous-time notes with corrected formula for variance of geometric brownian motion

Oct 22, 2008

hw05.pdf (due Oct 29)

Oct 21, 2008

Option pricing notes
HW 4, solution

Oct 11, 2008

hw04.pdf (due Oct 20)

Oct 9, 2008

Continuous-time notes: sde.pdf

Oct 8, 2008

Sept 29, 2008

Simulated maximum likelihood (SMLE) notes

Sept 22, 2008

Sept 18, 2008

hw01, sample solution.

Sept 16, 2008

Here are updated notes on the particle filter. HW 2 is on pages 4-5 of the notes. This will be due on Wed, Sept 24.

Sept 8, 2008

HW 1 is at the end of the notes. This will be due on Wed, Sept 17. But, please work on it before then so you can ask questions on Mon, Sept 15 (in case you have any...).

You may consult with each other, but everyone should try to come up with their own solution. You should turn in a document including figures and interpretation, as well as a printout of your computer code.

Kalman filter and smoother notes (and HW 1): kalman.pdf
HW 1 data: hw01_data.zip.

Additional resources:

Getting started with Matlab (from an old version, but should still be useful): getstart.pdf
Introduction to R: R-intro.pdf

Aug 25, 2008

Welcome to FNCE 7550, Corporate Finance.