University of Michigan Business School
F872 will be taught on Monday nights from 7:00 to 10:00 pm. during the Fall B term of the 2003/2004 school year. It will begin on October 27th at 7:00 pm. and will be held in room D0235.
Finance 872 is an introduction to continuous-time asset pricing. It is designed primarily for second-year Ph.D. students in finance, but it may also be of interest to financial engineering students, economics students, or very motivated MBA students. In F872 we discuss continuous-time stochastic processes, and then we apply techniques for manipulating those processes to several classic finance problems. Among other things, we derive Merton's intertemporal CAPM, the Black-Scholes formula, and the Cox-Ingersoll-Ross term structure model.
F872 is much more mathematically rigorous than the typical MBA course, but it is probably less rigorous than most economics Ph.D. courses. It uses many mathematical statistics concepts, some fundamental finance ideas, and a little bit of dynamic programming. If your financial/statistical background is weak I strongly recommend that you take BA855 before F872.
Some of the class notes and other documents that we will use in F872 are available here. The class notes are in Adobe Acrobat (PDF) format. If you want to download the Acrobat reader (a program that allows you to view and print PDF files), you can get it free at Adobe's web page.
Class Notes in Adobe Acrobat format
Office: 6209 Business Administration
Phone: (734) 763-4129
Fax: (734) 936-0274