Tuesday, January 13, 2015

Asset Pricing Mooc

The new and improved online version of my PhD class "Asset Pricing Part 1" will open for business January 18.

You can learn more about the class and sign up for it on the Coursera website here. (Part 2, which follows this spring is here. Part 1 and 2 will be completely separate Coursera classes, so take what you want.)

The videos and quizzes have been useful for people who are not "taking" the class, or as supplementary materials for people teaching regular classes. I taught my PhD class by asking the students to watch the videos before coming to class, which allowed a higher level discussion. Feel free to use these resources any way you wish!

While we're at it, I maintain a section of my research website with extra materials for people using the Asset Pricing book in classes, here, and my teaching materials from MBA and PhD classes are here

To whet your appetite, here is the syllabus from the two classes.

Part 1 syllabus:
  • 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 2 syllabus: 
  • Week 1: Factor pricing models in action
    • The Fama and French model
    • Fund and performance evaluation.
  • Week 2: Time series predictability, volatilty and bubbles.
  • Week 3: Equity premium, macroeconomics and asset pricing.
  • Week 4: Option Pricing.
  • Week 5: Term structure models and facts.
  • Week 6: Portfolio Theory.
  • Final Exam

17 comments:

  1. Love your Asset Pricing book. Any hints on when the next iteration will be available?

    ReplyDelete
    Replies
    1. I grant it needs it. The mooc does many things better. In particular I'm much better at continuous time now, and it's missing portfolio theory. Just find me another 8 hours in the day....

      Delete
  2. This is very useful stuff. The course could just as easily be called - "Get the Right Discount Rate." The discount rate issue might blow up as the boomers retire since discounting risky income was done (by some) at safe interest rates to match the assured payouts

    ReplyDelete
  3. Can we take a moment to talk about textbook pricing? Check out the amazon book page:

    http://www.amazon.com/gp/offer-listing/0691121370/ref=dp_olp_new?ie=UTF8&condition=new

    The lowest 'used' price is higher than the lowest 'new' price. Further, the 'new' prices are ~ 1/2 the new book price, and lower than the kindle price.

    Explanation?

    ReplyDelete
    Replies
    1. It puzzles the heck out of me. FYI authors have no say in book pricing.

      Delete
  4. A textbook case of asset mis-pricing

    ReplyDelete
  5. Will this be different from the first asset pricing course you had on coursera?

    ReplyDelete
    Replies
    1. Part 1 week 7, and part 2 week 1,2,3 are new. Many problems fixed.

      Delete
  6. Hi John:

    I took your online back in late 2013. I remembered you said back then that you'd love to squeeze GMM in but there was no time. Is it fair to say that you have now split the original course into 2 parts and add GMM, time series predictability, vol, bubbles, equity premium in and keep the rest? I want to learn some of the new stuff but retaking both parts again seems like an overkill. I presume the more appropriate approach will be just to audit the new topics. imho, your original was one of the most rewarding coursera course, also one of the toughest :)

    ReplyDelete
    Replies
    1. Thanks much. Yes, feel free to drop in for the parts that seem useful.

      Delete
  7. Off topic, but I read an interesting article by Robert Shiller. I thought it was pretty good, but I would assume you disagree with this statement, regarding the supposed mistrust of economists:

    "One reason may be the perception that many economists were smugly promoting the “efficient markets hypothesis” – a view that seemed to rule out a collapse in asset prices."

    http://www.project-syndicate.org/commentary/are-economists-good-by-robert-j--shiller-2015-01

    ReplyDelete
    Replies
    1. The rest of Shiller's paper quickly points out that this is not at all what efficient markets predicts. Efficient markets says crashes are unpredictable -- which they surely are -- not that they can't happen.

      Delete
    2. Perhaps I misinterpreted what Shiller was saying there, but he certainly wouldn't have been the first person to claim the financial crisis somehow represents a failure of the EMH. I get the feeling a lot of people get hung up on the name and think that it must mean all sorts of other things.

      Delete
  8. Will this course be offered again on the new Coursera platform?

    ReplyDelete
  9. The two Asset Pricing MOOCs have disappeared from the Coursera’s platform.
    Do you plan to make them available again in the foreseeable future?
    Thank you.
    Kind regards,
    Moreno

    ReplyDelete
  10. Are you going to give these courses again (on coursera) someday?

    ReplyDelete
    Replies
    1. Yes. See
      http://faculty.chicagobooth.edu/john.cochrane/teaching/asset_pricing.htm

      Delete

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