Friday, September 8, 2017

Online Asset Pricing is back!

The online Asset Pricing Ph.D. class is back! It died in a Coursera "upgrade," but it is now migrated over to Canvas.

Click here to go to the online class. My Asset Pricing webpage has links to the class, book, and many other useful materials.

It should be open and free to anyone, including all the quizzes, problem sets and exams.

Since it's on the Canvas system, if you are teaching at a University that uses Canvas, you should be able to integrate it with your class, assign all or part of it, and receive grades from quizzes and problem sets. Thus, you can use it as a flipped classroom, assign selected videos and quizzes in advance of a lecture.

It is also ideal for a Ph. D.  program summer school for year 0 or year 1. Again, through Canvas you should be able to assign the class, in whole or in part, and get grades.

It's also well suited to self-study. If you just want to watch the videos and read the notes, they are all here via youtube links on the Asset Pricing webpage.

Huge thanks to Emily Bembeneck and Allison Kallo at the University of Chicago, Mikhail Proshletsov, and above all to Nina Karnaukh now at Ohio State. Nina masterminded all the hard work of moving the class pages and quizzes from the Coursera system to the Canvas system, and fixing innumerable glitches along the way. Thanks also to the Booth School for paying for the transition.

12 comments:

  1. Great to know that!! This online course is a wonderful companion to the classic textbook, Asset Pricing, by you, Professor Cochrane. I benefit tremendously from watching the clearly-expressed and insightful YouTube videos as I began to learn asset pricing in the past. As a year one PhD student in finance, reading the book and watching the videos again make me well prepared for the PhD level courses (both theoretical asset pricing and empirical asset pricing) and academic research. Spreading knowledge is sowing happiness. I'm grateful to all the people who made it happen.

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  2. Dr. Cochrane,
    Just curious to know how often you plan to offer the class: only once,1/yr,1/semester or quarter, etc.
    Thanks,

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  3. Thanks prof Cochrane. I did it on 2014/15 with You. Once in lifetime experience..

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  4. Glad to know this! I haven't yet watched all videos, but the first five videos on stochastic calculus were wonderful. Thanks to you, now I use the stochastic differential equations and Ito's lemma in my papers (ideally, I wanted you to teach us stochastic dynamic programming, but that would be too demanding).

    At the moment, lecture notes are "separate", and I hope that the next edition of your "Asset Pricing" contains separate lecture notes in one place!

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  5. John, these materials are great, but I am slightly lost with the heavy math. Could you recommend a primer to bring me up to speed re the calc? Thx.

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    1. Dear Rivas,

      As we know, John's lecture notes are excellent. But if you want to know more about stochastic calculus, let me recommend "Stochastic Optimization in Continuous Time" by Fwu-Ranq Chang (2004). If you are familiar with the college algebra, you can learn a Brownian motion and stochastic dynamic programming from this book (a bit in technical/mathematical way, though).

      But if you want to start with review of regular calculus, I highly recommend "Applied Intertemporal Optimization" by Klaus Walde (2011). This e-book is free of charge and available at http://www.waelde.com/pdf/AIO.pdf#search=%27Applied+INtertemporal+Optimization%27.

      In my case, I first began with John's lecture notes and (nice!) videos. And I could get the intuition ("What's going on?", "What are the main points?", etc). Then I read Walde's and finally Chang's. In this way, now I can use stochastic calculus in my research.

      Hope this helps,
      Mizuki

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    2. Thx, Mizuki. Very helpful indeed.

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  6. Module 1 Homework 1 [practice]: Horizon Effects in Returns:

    On canvas.net the formatting is incorrect. It is showing urls back to canvas.uchicago.edu but it is not formatting correctly. I have tried with edge, firefox and chrome.

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    1. Thanks for reporting the bug! Fixed now!

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  7. The canvas.net is not correctly formatting the links back to canvas.uchicago.edu

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