Asset Pricing, taught by John H. Cochrane

This course is an introductory survey of graduate-level academic asset pricing. We focus on building the intuition and deep understanding of how the theory works, how to use it, and how to connect it to empirical facts. It shows some classic applications including the Fama-French three factor model, consumption and the equity premium, and extends the theory to cover options, bonds, and portfolios.

About the Course

Are you curious about quantitative academic finance? Have you considered graduate study in finance? Are you working in an investment bank, money-management firm or hedge fund and you want to understand models better? Would you like to know what buzzwords like beta, risk premium, risk-neutral price, arbitrage, equity premium, and discount factor mean? This class is for you.

We will see how one basic idea, price equals expected discounted payoff, unites everything - models that describe stocks, bonds, options, real investments, discrete time, continuous time, asset pricing, portfolio theory, and so forth.

The math in real, academic, finance is not actually that hard. Understanding how to use the equations, and see what they really mean about the world... that's hard, and that's what I hope will be uniquely rewarding about this class.

A new version of this class is coming soon!