Dear Asset Pricing community:
Im going to offer my online course Asset Pricing over the summer. The intent is a summer school for PhD students.
At least one university is going to use this more formally: Require completion of the class for their PhD students either incoming or between first and second year, and organize a TA and group meetings around the class. We have found that this sort of social organization helps a lot for students to get through online class.
The course offers a free certificate for achieving a certain grade level in the class, which gives an incentive to actually do the problems. You can tie achievement of the certificate to whatever carrots and sticks you want to offer. For example, one instructor is going to treat achievement of the certificate as an assignment for his fall PhD class, and include it in the grade.
Since the class covers most of the basics, this structure may free you to focus your PhD classes on more advanced material. Its also useful as a flipped classroom, allowing you to spend less time on algebra and derivations, and more on intuition, extensions, and current research.
This session wont have Tas on my part, though I will monitor the forums and attend to glitches as they crop up.
The class is free. To sign up or see the classes, follow these links
Part 1:
https://www.coursera.org/course/assetpricing
Part 2:
https://www.coursera.org/course/assetpricing2
The class experience consists of watching short lecture videos, doing the assigned reading, answering quzzes and fairly extensive problem sets, and taking an exam. The course has discussion forums which are quite useful.
Im sending you this email in case you are interested in setting up a similar summer school for your PhD students.
In any case, your PhD students may be interested to know about the opportunity for self-study, and I would appreciate your forwarding this email as appropriate
The class starts next Monday, June 8. It is open for registration now, and will be open for students to start work by the end of the week. Part 1 (7 weeks) ends July 26, and Part 2 (7 weeks) ends Sept 13. The two parts may be taken independently. Students not wishing a grade may use these materials freely and just do whatever parts seem interesting.
The syllabus FYI:
Part I
Week 1 Stochastic Calculus Introduction and Review. dz, dt and all that.
Week 2 Introduction and Overview. Challenging Facts and Basic Consumption-Based Model
Week 3 Classic issues in Finance. Equilibrium, Contingent Claims, Risk-Neutral Probabilities.
Week 4 State-Space Representation, Risk Sharing, Aggregation, Existence of a Discount Factor.
Week 5 Mean-Variance Frontier, Beta Representations, Conditioning Information.
Week 6 Factor Pricing Models -- CAPM, ICAPM and APT.
Week 7 Econometrics of Asset Pricing and GMM. Final Exam
Part II
Week 1 a) The Fama and French model b) Fund and performance evaluation.
Week 2 Econometrics of classic linear models.
Week 3 Time series predictability, volatility and bubbles.
Week 4 Equity premium, macroeconomics and asset pricing.
Week 5 Option Pricing.
Week 6 Term structure models and facts.
Week 7 Portfolio Theory and Final Exam
Sincerely
John Cochrane
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This email is a personal communication intended for the addressee only. Do not forward it in whole or in part. No part of this email may be quoted or attributed without my permission.
John H. Cochrane
AQR Capital Management Distinguished Service Professor of Finance
The University of Chicago
Booth School of Business
5807 South Woodlawn Avenue
Chicago, IL 60637
Tel 773.702.3059
Cell 773.919.3257
Fax 773.702.0458
john.cochrane_at_chicagobooth.edu<mailto:john.cochrane_at_chicagobooth.edu>
Office HC459
2014-2015 academic year contact information:
Senior Fellow, Hoover Institution
434 Galvez Mall
Stanford University
Stanford, CA 94305-6010
Tel 650 723 6708
Cell 773 919 3257
Office HHMB 245
Webpage:
http://faculty.chicagobooth.edu/john.cochrane/
Blog:
http://johnhcochrane.blogspot.com/
Booth webpage: www.chicagobooth.edu<
http://www.chicagobooth.edu/>
Received on Thu Jun 04 2015 - 07:17:40 EDT
