Penati, A. and G. Pennacchi: Notes on Asset Pricing
1) Choice Under Uncertainty
2) Risk Aversion and Risk Premia
3) Risk Aversion and Portfolio Choice
4) Mean Variance Analysis
5) An Application of Mean Variance Analysis: Cross-Hedging
6) The Capital Asset Pricing Model
7) Arbitrage Pricing Theory
8) Consumption - Savings, Portfolio Choice, and Asset Pricing
9) Option Pricing
10) The Cox-Ross-Rubinstein Option Pricing
11) Option Pricing Using the Binomial Model
12) The Essentials of Diffusion Processes and Ito's Lemma
13) Option Pricing in Continuous-Time and the Black-Scholes Equation
14) An Equilibrium Model of the Term Structure of Interest Rates
15) The Risk-Neutral Valuation Method
16) Options on an Asset that Yields Continous Dividends
17) Arbitrage, Equivalent Martingale Measures, Risk-Neutral Valuation, and Pricing Kernels
18) Arbitrage-Free Binomial Models of the Term Structure
19) Extending Diffusion Processes to Allow for Jumps
20) Modeling Credit Risk
21) Intertemporal Consumption and Portfolio Choice: The Dynamic Programming Approach
22) Further Implications of the Basic Model of Intertemporal Consumption and Portfolio Choice
23) Rational Speculative Asset Price Bubbles
24) Intertemporal Consumption and Portfolio Choice in Continuous-Time
25) An Intertemporal Capital Asset Pricing
26) Non-Time-Separable Utility: Habit Formation
27) Recursive Utility
28) Prospect Theory and Asset Prices
29) On the Efficiency of Competitive Stock Markets Where Trades Have Diverse Information
30) Market Micro-Structure: Notes on the Kyle Model