{"id":170,"date":"2023-02-25T00:08:18","date_gmt":"2023-02-25T00:08:18","guid":{"rendered":"https:\/\/academic.csuohio.edu\/galindogil-hamilton\/?page_id=170"},"modified":"2023-03-04T13:57:29","modified_gmt":"2023-03-04T13:57:29","slug":"c1-ha-assetpricing","status":"publish","type":"page","link":"https:\/\/academic.csuohio.edu\/galindogil-hamilton\/c1-ha-assetpricing\/","title":{"rendered":"c1-HA-AssetPricing"},"content":{"rendered":"\n<h1 class=\"has-text-align-center wp-block-heading\">Course: Heterogeneous Agents in Asset Pricing<\/h1>\n\n\n<p>Here you will find my class notes about heterogeneous agents in asset pricing.<\/p>\n<h3>Fall 2021<\/h3>\n<ul>\n<li><a href=\"https:\/\/www.dropbox.com\/s\/v87m0pyr0ftfjq7\/L1%5BHA-AssetPricing-Overview%5D.pdf?dl=0\" target=\"_blank\" rel=\"noopener\">Lecture 1. <\/a> Heterogeneous agents in asset pricing (an overview)<\/li>\n<li><a href=\"https:\/\/www.dropbox.com\/s\/7tkhnq4c28rsugb\/L2%5BHA-Macro-OverviewNEW%5D.pdf?dl=0\" target=\"_blank\" rel=\"noopener\">Lecture 2. <\/a> Heterogeneous agents in macroeconomics (an overview)<\/li>\n<li><a href=\"https:\/\/www.dropbox.com\/s\/7n1bo0loxawc7bt\/L3%5BHuggettModel-PoissonNEW%5D.pdf?dl=0\" target=\"_blank\" rel=\"noopener\">Lecture 3. <\/a> The Hugget model<\/li>\n<li><a href=\"https:\/\/www.dropbox.com\/s\/fousgk9ktx3pj29\/L4%5BNumericalMethod-ExplicitNEW%5D.pdf?dl=0\" target=\"_blank\" rel=\"noopener\">Lecture 4. <\/a> The explicit method to solve the HJB equation<\/li>\n<li><a href=\"https:\/\/www.dropbox.com\/s\/f0bd2pithuj80vj\/L5%5BNumericalMethod-ImplicitNEW%5D.pdf?dl=0\" target=\"_blank\" rel=\"noopener\">Lecture 5. <\/a> The implicit method to solve the HJB equation<\/li>\n<li><a href=\"https:\/\/www.dropbox.com\/s\/u16d8in9myzuf25\/L6%5BFokker-Planck-Equation%5D.pdf?dl=0\" target=\"_blank\" rel=\"noopener\">Lecture 6. <\/a> The Fokker-Planck equation<\/li>\n<\/ul>\n<h3>Spring 2022<\/h3>\n<ul>\n<li><a href=\"https:\/\/www.dropbox.com\/s\/enw29uo8ndjgvbk\/HA-AssetPricing-Overview2022.pdf?dl=0\" target=\"_blank\" rel=\"noopener\">Lecture 1. <\/a> Heterogeneous agents in asset pricing (an overview)<\/li>\n<li><a href=\"https:\/\/www.dropbox.com\/s\/zkby75p033m4vxk\/L2A_StochasticProcess.pdf?dl=0\" target=\"_blank\" rel=\"noopener\">Lecture 2. <\/a> Stochastic processes theory<\/li>\n<li><a href=\"https:\/\/www.dropbox.com\/s\/1rqix4drogy6a1z\/L2B_StochasticCalculus.pdf?dl=0\" target=\"_blank\" rel=\"noopener\">Lecture 3. <\/a> Stochastic calculus theory<\/li>\n<li><a href=\"https:\/\/www.dropbox.com\/s\/4e5d8m3bz6s84i7\/L3_DynProgramming.pdf?dl=0\" target=\"_blank\" rel=\"noopener\">Lecture 4. <\/a> Dynamic programming in continuous time<\/li>\n<li><a href=\"https:\/\/www.dropbox.com\/s\/kj6lcx5zcsb6rzz\/L4A_Cox1985.pdf?dl=0\" target=\"_blank\" rel=\"noopener\">Lecture 5. <\/a> Continuous-time general equilibrium model in asset pricing I<\/li>\n<li><a href=\"https:\/\/www.dropbox.com\/s\/c5n22j4mwtt61gt\/L4B_Cox1985.pdf?dl=0\" target=\"_blank\" rel=\"noopener\">Lecture 6. <\/a> Continuous-time general equilibrium model in asset pricing II<\/li>\n<li><a href=\"https:\/\/www.dropbox.com\/s\/ryeb1n3ipqy3v6n\/L4C_Cox1985.pdf?dl=0\" target=\"_blank\" rel=\"noopener\">Lecture 7. <\/a> Continuous-time general equilibrium model in asset pricing III<\/li>\n<li>Lecture 8. Reading Group\n<ul>\n<li><a href=\"https:\/\/www.dropbox.com\/s\/gvj2nhlo30ebpi0\/Panageas2020.pdf?dl=0\" target=\"_blank\" rel=\"noopener\">Panageas (2020) <\/a><\/li>\n<li><a href=\"https:\/\/www.dropbox.com\/s\/fw07xrxxpzu2vgn\/Dumas1989.pdf?dl=0\" target=\"_blank\" rel=\"noopener\">Dumas (1989) <\/a><\/li>\n<li><a href=\"https:\/\/www.dropbox.com\/s\/c8kj3uebogvhew3\/Wang1996.pdf?dl=0\" target=\"_blank\" rel=\"noopener\">Wang (1996) <\/a><\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<h3>Spring 2023 (in progress)<\/h3>\n<ul>\n<li><a href=\"https:\/\/www.dropbox.com\/s\/stnlyneu3zzqvd8\/L1_kickoff.pdf?dl=0\" target=\"_blank\" rel=\"noopener\">Lecture 1. <\/a> Introduction<\/li>\n<li><a href=\"https:\/\/www.dropbox.com\/s\/leekfbfj5ricz3r\/L2_LitRev.pdf?dl=0\" target=\"_blank\" rel=\"noopener\">Lecture 2. <\/a> Literature review<\/li>\n<li><a href=\"https:\/\/www.dropbox.com\/s\/5eld9mh8b9no42i\/L2A_MathPreliminary.pdf?dl=0\" target=\"_blank\" rel=\"noopener\">Lecture 3. <\/a> Math preliminary<\/li>\n<li><a href=\"https:\/\/www.dropbox.com\/s\/x69c75yxajrgtsx\/L2B_StochasticProcess.pdf?dl=0\" target=\"_blank\" rel=\"noopener\">Lecture 4. <\/a> Stochastic processes theory<\/li>\n<li><a href=\"https:\/\/www.dropbox.com\/s\/zhvf47jik1ak5xy\/L2C_StochasticCalculus.pdf?dl=0\" target=\"_blank\" rel=\"noopener\">Lecture 5. <\/a> Stochastic calculus theory<\/li>\n<li><a href=\"https:\/\/www.dropbox.com\/s\/43cenjklq3eg91v\/L3_DynProgramming_v2.pdf?dl=0\" target=\"_blank\" rel=\"noopener\">Lecture 6. <\/a> Dynamic programming in continuous time<\/li>\n<li><a href=\"https:\/\/www.dropbox.com\/s\/4wehtxb91812k3u\/L4B_Martingale.pdf?dl=0\" target=\"_blank\" rel=\"noopener\">Lecture 7. <\/a> Martingale&#8217;s approach to solving the consumption-portfolio problem<\/li>\n<li><a href=\"https:\/\/www.dropbox.com\/s\/rtbuxsnzlvzgsdn\/L5_WealthDynamic.pdf?dl=0\" target=\"_blank\" rel=\"noopener\">Lecture 8. <\/a> Wealth dynamic in continuous time<\/li>\n<li>Lecture 9. Numerical methods I: Markov Chain Approximation<\/li>\n<li>Lecture 10. Numerical methods II: Finite Difference<\/li>\n<li>Lecture 11-12. Preferences Heterogeneity\n<ul>\n<li>Wang (1996)<\/li>\n<li>Chan and Kogan (2002)<\/li>\n<\/ul>\n<\/li>\n<li>Lecture 13-14. Beliefs Heterogeneity<\/li>\n<li>Lecture 15-16. Labor Income Risks Heterogeneity<\/li>\n<\/ul>","protected":false},"excerpt":{"rendered":"<p>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.&mldr;<\/p>\n","protected":false},"author":57,"featured_media":0,"parent":0,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"","meta":{"_relevanssi_hide_post":"","_relevanssi_hide_content":"","_relevanssi_pin_for_all":"","_relevanssi_pin_keywords":"","_relevanssi_unpin_keywords":"","_relevanssi_related_keywords":"","_relevanssi_related_include_ids":"","_relevanssi_related_exclude_ids":"","_relevanssi_related_no_append":"","_relevanssi_related_not_related":"","_relevanssi_related_posts":"","_relevanssi_noindex_reason":"","footnotes":""},"class_list":["post-170","page","type-page","status-publish","hentry"],"featured_image_src":null,"_links":{"self":[{"href":"https:\/\/academic.csuohio.edu\/galindogil-hamilton\/wp-json\/wp\/v2\/pages\/170","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/academic.csuohio.edu\/galindogil-hamilton\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/academic.csuohio.edu\/galindogil-hamilton\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/academic.csuohio.edu\/galindogil-hamilton\/wp-json\/wp\/v2\/users\/57"}],"replies":[{"embeddable":true,"href":"https:\/\/academic.csuohio.edu\/galindogil-hamilton\/wp-json\/wp\/v2\/comments?post=170"}],"version-history":[{"count":10,"href":"https:\/\/academic.csuohio.edu\/galindogil-hamilton\/wp-json\/wp\/v2\/pages\/170\/revisions"}],"predecessor-version":[{"id":190,"href":"https:\/\/academic.csuohio.edu\/galindogil-hamilton\/wp-json\/wp\/v2\/pages\/170\/revisions\/190"}],"wp:attachment":[{"href":"https:\/\/academic.csuohio.edu\/galindogil-hamilton\/wp-json\/wp\/v2\/media?parent=170"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}