金融学原理 Foundations of Finance

This course is designed to acquaint you with a sequence of carefully elaborated topics in finance. Important themes include asset pricing based on equilibrium principles and arbitrage considerations, optimal portfolio selection, risk measurement, and some introductions to behavioral biases and asymmetric information. This course also treats the continuous-time theory of stochastic calculus within the context of finance applications. We will start with the discrete-time binomial model as a vehicle for several fundamental concepts, and later develop analogous ideas in the continuous-time setting. Essentially, it is suitable for students who are seriously interested in financial economics, want to be aware of the frontier ideas that have marked the recent evolution of the discipline; and have an appetite for the formal analysis of these issues.

基础要求 Prerequisites

Prior knowledge of microeconomics and slightly advanced “mathematics for economists” are required.

资产定价 Asset Pricing

Theory of Asset Pricing by George Pennacchi

随机微积分 Stochastic Calculus

Stochastic Calculus for Finance I and II by Steven Shreve