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Lecture
Risk-neutral Valuation
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Related lectures (32)
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Arbitrage in Multiperiod Models
Explores arbitrage in multiperiod models, covering dynamic trading, absence of arbitrage, trading strategies, discounted prices, and martingales.
Asset Pricing: Fundamental Theorems
Covers the fundamental theorems of asset pricing, including EMM, self-financing strategies, risk-neutral pricing, and completeness of markets.
Risk-neutral Valuation: Traded Securities
Explores risk-neutral valuation for traded securities, derivatives, hedging, bond pricing, and forward contracts in financial markets.
Equilibrium State Prices Determination
Explains the determination of equilibrium state prices in asset pricing through consumption market clearing and budget constraints.
Financial Market Models: Arbitrage and Completeness
Explores arbitrage-free and complete financial market models, risk-neutral probabilities, structured notes pricing, and option hedging.
Multiperiod Valuation and Hedging
Explores arbitrage, martingale measures, and market completeness in multiperiod models, focusing on pricing and hedging strategies.
Factor Models and CAPM
Covers the Capital Asset Pricing Model, estimating betas, empirical evidence on returns versus beta, short-sale constraints, and optimal portfolio choice.
Dynamic Portfolio Choice: Wealth Dynamics and HJB Equation
Covers dynamic portfolio choice, wealth dynamics, HJB equation, and asset pricing puzzles.
Asset Pricing: Dynamic Arbitrage Pricing & Black-Scholes Formula
Explores asset pricing theorems and the Black-Scholes formula derivation in discrete time economies.
Investments: Portfolio Selection and Asset Pricing
Covers portfolio selection, asset pricing, market efficiency, and risk management in investments.
