資產評價理論
Asset Pricing Theory
| 節 | 週三 |
|---|---|
7 15:30–16:20 | 資產評價理論 M101（光復） 3 節連堂 |
8 16:30–17:20 | |
9 17:30–18:20 |
* 根據陽明交大上課時間表所列
This course covers theories of asset pricing that are foundation of current theoretical and empirical research in financial economics. It includes models of individual consumption and portfolio choice and their implications for equilibrium asset prices. Contingent claims valuation techniques based on the absence of arbitrage are also presented. In addition, recent models of utility such as time-inseparable or behavioral biases are considered here.
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Class Participation (50%), Final Report (50%).
Portfolio Choice and Asset Pricing
1.CAPM, Arbitrage, and Linear Factor Models 2.Multi-period Market Equilibrium
- 講授：
- 100%
Contingent Claims Pricing
1.Derivative Pricing 2.Dynamic Hedging and PDE Valuation 3.Arbitrage, Martingales, and Pricing Kernels
- 講授：
- 100%
Asset Pricing in Continuous Time
1.Continuous-Time Consumption and Portfolio Choice 2.Time-Imseparable Utility
- 講授：
- 100%
| 週次 | 主題 |
|---|---|
| 第 1 週 | Introduction |
| 第 2 週 | Expected Utility, Risk Aversion ,and Mean-Variance Analysis |
| 第 3 週 | CAPM, Arbitrage, Linear Factor Models and Mean-Variance Analysis |
| 第 4 週 | Consumption-Savings Decisions and State Pricing |
| 第 5 週 | A Multi-period Discrete-Time Model of Consumption and Portfolio Choice |
| 第 6 週 | Multi-period Market Equilibrium |
| 第 7 週 | Multi-period Market Equilibrium |
| 第 8 週 | Basics of Derivative Pricing and Essentials of Diffusion Processes |
| 第 9 週 | Dynamic Hedging and PDE Valuation |
| 第 10 週 | Arbitrage, Martingales, and Pricing Kernels |
| 第 11 週 | Mixing Diffusion and Jump Processes |
| 第 12 週 | Continuous-Time Consumption and Portfolio Choice |
| 第 13 週 | Equilibrium Asset Returns |
| 第 14 週 | Time-Inseparable Utility |
| 第 15 週 | Behavioral Finance and Asset Pricing |
| 第 16 週 | Asset Pricing with Differential Information |
| 第 17 週 | Models of the Term Structure of Interest Rates |
| 第 18 週 | Final Report Presentation |
Selected papers Reference book: The Theory of Asset Pricing, by George Pennacchi.
- 地點
- Room 411, Management Building I
- 時間
- (三)X(四)X
- 聯絡方式
- Appointment by Email jiahau@faculty.nctu.edu.tw 03-5712121#57078