Continuous-Time Asset Pricing

Course Code
FIN 872
Hours
1.5 hours
Type
Elective
Offered
  • Fall 19 (B)
  • Winter 19 (A)
  • Winter 20 (A)
Theoretical Models in Finance II --- This is the second course in a two-part sequence on theoretical models in Finance, the second course being FIN 865. The set of topics covered will change from year to year. Potential topics across the two courses include (i) applications of asymmetric information (ii) trading and price formation and (iii) continuous time models in finance.

New Title/Description for Fall 2019 - 

Course title: Trading and Price Information
Course description: A vibrant research (variously labeled as Financial Markets, Information Economics and Markets, or, more narrowly, Market Microstructure) analyzes, both theoretically and empirically, the impact of important (yet often ignored) trading frictions on the process of price formation in domestic and international financial markets (for equity, government and corporate bonds, currency, and real estate, among others). The main goal of this Ph.D. course is to motivate students to pursue theoretical and empirical research in this exciting area of Financial Economics.

Taught By
Paolo Pasquariello
  • Professor of Finance
Paolo's research interests are in the areas of information economics, international finance, and market microstructure. His research analyzes the...
Indrajit Mitra
  • Assistant Professor of Finance
Indrajit Mitra is an Assistant Professor in Finance. He joined the Ross School in 2015. His research interests cover theoretical and empirical topics...