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Finance Theory I (MIT 15.401)
Course
by MIT OpenCourseWare
Tags
asset pricingbondsfinanceportfolio theory
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Build the foundations
Suggested foundations for asset pricing and factor research and rates and fixed income. Specialist prerequisites vary by resource.
Before you read
- Linear Regression
Interpret exposures, residuals and uncertainty in fitted coefficients.
- Financial Return Characteristics
Work with returns and recognise their empirical limitations.
- The Bank Account, Short Rate, and the Fundamental Pricing Equation
Understand discounting in a stochastic-rate model.
- DV01, Dollar Duration, and One-Factor Price Sensitivity
Translate yield movements into first-order price risk.
Go further
- Factor construction
Connect factor definitions to portfolio construction.
- Time-series and cross-sectional tests
Distinguish exposure estimation from tests of expected returns.
- Bootstrapping the Spot Curve from Market Instruments
Build a consistent discount curve.
Explore a related reading path
- Portfolio construction and risk
Connect diversification, common risk factors, investor views, and the properties of a risk measure.