Wednesday, June 3, 2015

Asset Pricing Summer School

I’m going to offer my online course “Asset Pricing” over the summer. The intent is a “summer school” for PhD students, either incoming or between the first year of foundation courses and the second year of specialized finance courses.

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 classes.

The course offers a free “certificate” for achieving a certain grade level in the class, which gives an incentive to actually do the problems. Faculty can tie achievement of the “certificate’ to whatever carrots and sticks they 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 a faculty member teaching next year to focus the PhD classes on more advanced material. It’s also useful as a “flipped classroom,” allowing the faculty member to spend less time on algebra and derivations, and more on intuition, extensions, and current research.

This session won’t 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:
Part 2:

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.

The class starts next Monday, June 8. It is open for registration now, and will be open for students to see materials and start work by the end of the week. Part 1 (7 weeks) ends July 27, and Part 2 (7 weeks) ends Sept 14. The two parts may be taken independently. Students not wishing a grade may use these materials freely and just do whatever parts seem interesting. I've also set up the grading pretty flexibly to allow people to adjust their schedules rather than follow the week by week rigid schedule.

This is a bit late notice, but I hope blog readers will pass on notice to PhD students or prospective ones, and to faculty members who are teaching PhDs in the fall and might find this resource useful.

The syllabus:

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


  1. I wish you offered the class in New York City, or had a distance learning option. It sounds like a very interesting class.

    1. This is a distance learning class! It's an online class offered through coursera. Was that not clear?

  2. Great post! I'm starting a PhD in the fall and will definitely sign up for your class.

  3. This is my favorite course ever! This is second time I have taken this course. All of the videos homework and Google hangout are great! I spent 4 months to take this course day and night! It is totally worth my time!

  4. It is a difficult but beautiful course! Thank you for continuing to offer it!

    1. This comment has been removed by the author.

  5. This is great! I'm so grateful for all the resources and time you donate. I am an RA at the FRBSF and briefly met you a couple months ago, and after getting your textbook for my birthday about 2.5 years ago have been working on learning enough math to properly learn your textbook and online courses. I think I've reached that point now, so I'm going to give it a shot.

  6. Please correct me if I'm wrong, but it seems you're opening both parts at the same time? I've read the book but I still don't understand lots of things, esp. the part on Option Pricing.

    1. Yes, everything is open at once. This is a repeat of the class I did winter and spring, and there isn't the usual TA support. Plus, people's schedules are different over the summer. So do what you want, when you want.

  7. How many hours/week should the median (successful) student expect to devote to the effort?

    1. Extremely variable. It depends a lot on background. Some people will see 1 = expected marginal utility growth times return and go sure sure get on with it, others will need to stop for an hour and think about it. Also the course format is very flexible about how deep you want to delve. That said, our survey last time found students who finished the whole thing were putting in 10-15 hours per week, if I remember correctly.

    2. Thanks, that helps.

  8. Extremely valuable class, serious math..just completed it; but, plan at least 5-6 hours per day ..Prof John - look forward to your updates & addition in Portfolio theory.. Good luck

  9. Hi Professor Cochrane, is this class going to be offered again on Coursera this year?

  10. Hi Professor Cochrane,

    Like the poster above I am wondering if you will offer this course this summer. If not, is there any place the course and its materials are archived?


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