Course: Heterogeneous Agents in Asset Pricing
Here you will find my class notes about heterogeneous agents in asset pricing.
Fall 2021
- Lecture 1. Heterogeneous agents in asset pricing (an overview)
- Lecture 2. Heterogeneous agents in macroeconomics (an overview)
- Lecture 3. The Hugget model
- Lecture 4. The explicit method to solve the HJB equation
- Lecture 5. The implicit method to solve the HJB equation
- Lecture 6. The Fokker-Planck equation
Spring 2022
- Lecture 1. Heterogeneous agents in asset pricing (an overview)
- Lecture 2. Stochastic processes theory
- Lecture 3. Stochastic calculus theory
- Lecture 4. Dynamic programming in continuous time
- Lecture 5. Continuous-time general equilibrium model in asset pricing I
- Lecture 6. Continuous-time general equilibrium model in asset pricing II
- Lecture 7. Continuous-time general equilibrium model in asset pricing III
- Lecture 8. Reading Group
Spring 2023 (in progress)
- Lecture 1. Introduction
- Lecture 2. Literature review
- Lecture 3. Math preliminary
- Lecture 4. Stochastic processes theory
- Lecture 5. Stochastic calculus theory
- Lecture 6. Dynamic programming in continuous time
- Lecture 7. Martingale’s approach to solving the consumption-portfolio problem
- Lecture 8. Wealth dynamic in continuous time
- Lecture 9. Numerical methods I: Markov Chain Approximation
- Lecture 10. Numerical methods II: Finite Difference
- Lecture 11-12. Preferences Heterogeneity
- Wang (1996)
- Chan and Kogan (2002)
- Lecture 13-14. Beliefs Heterogeneity
- Lecture 15-16. Labor Income Risks Heterogeneity