MIT Course 15.472: Advanced Asset Pricing
This course focuses on theoretical and empirical tools and results in macro-finance, asset pricing, and portfolio choice. The lectures will be a blend of theory, econometric and computational methods, and a critical review of empirical studies. The course will cover topics that include cross-sectional and time-series models in asset pricing; consumption-based models; heterogeneous agent models; intermediary asset pricing; liquidity and asset prices; and an introduction to continuous-time finance. Please see “Course Schedule and Readings” for the precise topics to be covered in the course this year. The course is designed to jump-start PhD dissertations; there is no final exam, but there is a term paper with a presentation requirement, and graded assignments.
Lecture Slides:
Introduction
Computation (Part I)
Computation (Part II)
GMM
Cross-Sectional Asset Pricing
Term Structure
MIT Course 15.474: Current Topics in Finance
Faculty present their current research in a wide variety of topics in finance. Provides a rapid overview of the literature, an in-depth presentation of selected contributions, and a list of potential research ideas for each topic. Faculty rotate every year to cover new topics. Primarily for doctoral students in accounting, economics, and finance.
Lecture Slides:
Housing and the Macroeconomy
Leverage and Crises
This course focuses on theoretical and empirical tools and results in macro-finance, asset pricing, and portfolio choice. The lectures will be a blend of theory, econometric and computational methods, and a critical review of empirical studies. The course will cover topics that include cross-sectional and time-series models in asset pricing; consumption-based models; heterogeneous agent models; intermediary asset pricing; liquidity and asset prices; and an introduction to continuous-time finance. Please see “Course Schedule and Readings” for the precise topics to be covered in the course this year. The course is designed to jump-start PhD dissertations; there is no final exam, but there is a term paper with a presentation requirement, and graded assignments.
Lecture Slides:
Introduction
Computation (Part I)
Computation (Part II)
GMM
Cross-Sectional Asset Pricing
Term Structure
MIT Course 15.474: Current Topics in Finance
Faculty present their current research in a wide variety of topics in finance. Provides a rapid overview of the literature, an in-depth presentation of selected contributions, and a list of potential research ideas for each topic. Faculty rotate every year to cover new topics. Primarily for doctoral students in accounting, economics, and finance.
Lecture Slides:
Housing and the Macroeconomy
Leverage and Crises