Lecture1 IntroductionIntroducing class arrangement and requirements; reviewing financial assets and trading rules.Lecture 2 Consumption Model(1)Introduction to single-period consumption models; required to understand consumption pricing equations, stochastic discounting, riskless rate of interest, beta pricing.Lecture3 Consumption Model(2)Lecture4 Arbitrage free models( discrete-time) (1)Single and multi-period arbitrage-free pricing, required to grasp the concepts of arbitrage-free, state price and risk-neutral pricing.Lecture5 No-Arbitrage Models(Discrete Time)(2)Lecture6 Introduction to continuous-time ModelsIntroduction, review of continuous-time stochastic processes, required to grasp the characteristics of Brownian motion and martingale.Lecture7 Ito IntegralMust comprehend and be familiar with the applications of single and multi-variable Ito lemma.Lecture8 Diffusion ProcessesUnderstanding often-used diffusion models, numerical matching and econometric estimation methods.Lecture9 No-Arbitrage Model(continuous-Time)(1)Required to grasp arbitrage-free models under the continuous-time framework and to learn to derive partial differential equations of arbitrage-free price.Lecture10 No-Arbitrage Model(Continuous-Time)(2)Lecture11 Risk-Neutral Pricing1Required to comprehend risk-neutral probability measure and martingale pricing, and to derive the black-scholes formula.Lecture12 Risk-Netural Pricing 2Lecture13 Derivatives Pricing 1Required to grasp the risk-neutral pricing method of futures, options and other derivatives.Lecture14 Derivatives Pricing2Lecture15 Term Structure of Interest Rate1Introducing single and multi-factor term structures of interest rateLecture16 Term Structure of Interest Rate2Lecture17 Numerical Methods1Required to comprehend the Monte Carlo solution of stochastic differential equationsLecture18Numerical Method2

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Four exercises 20%, Mid-term exam 40%, Final exam 40%

• 1.Darrell Duffie, Dynamic Asset Pricing Theory, Princeton University Press, 20012.John H. Cochrane, Asset Pricing, Princeton University Press, 20053.约翰·C·赫尔，期货期权入门，中国人民大学出版社，2000(in Chinese)4.L.C.G. Rogers and D. Williams, Diffusions, Markov Processes and Martingales, Cambridge University Press, 2000