SS 213 abc

Financial Economics

9 units (3-2-4)  |  first, second terms
Mathematical finance: Pricing financial derivatives, risk management, and optimal portfolio selection. Methods of stochastic, Ito calculus for models driven by Brownian motion. Asset pricing theory: Mean-variance theory, information economics, continuous-time finance and differential equations, intertemporal consumption-based asset pricing theories, recent developments in intermediary-based and behavioral asset pricing theories. Behavioral finance: Empirical facts about asset prices, investor trading behavior, and firm behavior. Psychology about investor preferences and beliefs. Behavioral finance models that explain empirical facts. Trading strategies implemented by hedge funds. Prescriptive behavioral finance that aims at helping individuals and institutions to make better financial decisions.
Instructors: Cvitanic, Jin

Please Note

The online version of the Caltech Catalog is provided as a convenience; however, the printed version is the only authoritative source of information about course offerings, option requirements, graduation requirements, and other important topics.