Course outline (tentative and subject to change)

· Building and testing asset pricing models

· Arbitrage pricing theory

· Mean variance efficient frontier

· CAMP/Single factor models

· Multi factor models

· Cross-sectional regressions, Fama-MacBeth

· Conditional vs. unconditional asset pricing models

· Term structure models

· Affine models

· Factor analysis and principal component methods

· State space models and filtering

· Shadow rates, ZLB

· Estimation methods

· Simulated method of moments

· Indirect inference and efficient method of moments

· Market microstructure

· Price discovery, market efficiency, liquidity

· Algorithmic trading, high-frequency trading, arbitrage, high-frequency data

· Topics (if time permits)

· Green finance

· Intro to corporate finance

· Big data in finance, basic machine learning techniques