NYU: Financial Theory IV
This course covers the theory, solution, and estimation of structural models in finance and macroeconomics. The first section of the course (3 lectures) presents core methods for solving and estimating these models, while the second section of the course (3 lectures) studies structural models of asset prices, firm finance, and household finance. (Syllabus)
Lecture Slides:
Computational Methods
Solving Models
Estimating Models
Term Structure Models
Macrofinance Models of Firms
Macrofinance Models of Households
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 covers the theory, solution, and estimation of structural models in finance and macroeconomics. The first section of the course (3 lectures) presents core methods for solving and estimating these models, while the second section of the course (3 lectures) studies structural models of asset prices, firm finance, and household finance. (Syllabus)
Lecture Slides:
Computational Methods
Solving Models
Estimating Models
Term Structure Models
Macrofinance Models of Firms
Macrofinance Models of Households
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