Lectures in course FIN-609: Asset Pricing (2011 - 2024)

Asset Pricing Puzzles: Understanding Risk and Utility Models

Explores asset pricing puzzles, risk-return dynamics, and utility models in financial economics.

Asset Pricing: PhD Lecture

Explores asset pricing models, risk-free assets, portfolio choice, and stochastic discount factors in PhD classes.

Asset Pricing and Hedging in Complete Markets

Covers asset pricing, hedging, American claims, stopping times, and dynamic programming in finance.

Dynamic Programming: Portfolio Optimization

Explores dynamic programming for optimizing portfolio choices and asset pricing theory.

Pareto Efficiency and Social Welfare

Explores Pareto efficiency, social welfare, and asset pricing optimization in complete and incomplete markets.

Dynamic Arbitrage: Asset Pricing

Explores self-financing strategies, asset pricing theorems, and arbitrage opportunities in financial markets.

Asset Pricing: Excess Volatility Puzzle

Explores the Excess Volatility Puzzle in asset pricing, analyzing the relationship between stock prices and dividends, predictability of returns, and implications of risk-aversion.

Asset Pricing: Valuation and Arbitrage

Explores the fundamental theorem of asset pricing and the concept of state prices and risk-neutral measures.

Market Structure: Portfolio, Arbitrage, and Consumption

Explores market structure, portfolio holdings, arbitrage, state prices, and optimal consumption-portfolio choices.

Asset Pricing: Theory and Applications

Explores asset pricing theory, market efficiency, risk-return relationship, and the efficient frontier.

Asset Pricing: Theory and Applications

Series covers asset pricing theories, mean-variance optimization, state prices, and risk-neutral measures.

Asset Pricing Theory: Risk Aversion and Utility Functions

Explores risk aversion, utility functions, and asset pricing theory, including classic models and the Kreps-Porteus-Epstein-Zin utility function.

Expected Utility and Risk-Aversion

Explores expected utility theory, risk-aversion, utility functions, and decision-making under uncertainty.

Asset Pricing: Risk-Neutral Measure and State Prices

Covers risk-neutral measure, state prices, utility functions, and risk aversion in asset pricing.

Asset Pricing Theory: Dynamic Arbitrage Pricing

Covers the first theorem of asset pricing, self-financing portfolios, replication, Kolmogorov equations, and pricing strategies.

Expected Utility and Risk-Aversion: Theoretical Foundations

Explores expected utility, risk-aversion, insurance premiums, and portfolio choice in asset pricing.

Multivariate Normal Distribution: Correlation and Covariance

Covers correlation, covariance, empirical estimates, eigenvalues, normality testing, and factor models.

Asset Pricing: Utility Functions and Risk Management

Explores utility functions and risk management in asset pricing under uncertainty.

Asset Pricing: Equilibrium and Pareto Optimality

Explores equilibrium and Pareto optimality in asset pricing theory, emphasizing market equilibrium conditions and welfare theorems.

Quantitative Risk Management: Volatility Modeling

Covers volatility modeling in quantitative risk management, including ARMA, ARCH, GARCH models, and forecasting.