Home page of Business 35907. Prof. Pietro Veronesi
Topics in Dynamic Asset Pricing
Course Overview
The course covers topics in the area of dynamic asset pricing, including standard complete market models, incomplete markets, portfolio constraints and transaction costs, heterogeneous agents, learning and uncertainty, asymmetric information, differences in beliefs, short sales constraints, and other recent developments such as non-time additive preferences. The course will also cover selected topics in the area of derivative pricing and term structure models.
The course is intended for Ph.D. students and requires familiarity with the basics of asset pricing theory, at the level of Bus432 and Bus 435, and derivative pricing, at the level of Bus 337 (or, even better, Bus 437 and Bus 439).
Important Note: This course can be
taken to satisfy the curriculum requirement in the finance concentration.
To know more about the course, you can download a PDF file with the Course Syllabus
Many have asked me to post my teaching notes on learning in a site that is not password protected (to access the link below you must be associated with GSB). So, I decided to do so: you can download without any password by following the link below. Be aware that these are teaching notes, and, as such, they are not clean. Sometimes, I only have tables and figures, with no comments in the text. Also, they are based on my own research on learning (much of the stuff is not any paper, in fact.)
Links to
Working Papers;
The
Teaching Notes;
The
Board;
The
Computer Files;
The
Assignments;
Data
;
You can contact me by sending your mail at pietro.veronesi@gsb.uchicago.edu
Last updated 9/1/2000