Course

Asset Pricing

Teacher(s)

Roger Laeven, Michel Vellekoop
Research field

-
Dates

Period 3 - Jan 02, 2023 to Feb 24, 2023

Course type

Core
Program year

First
Credits

4

Course description

This course provides an introductory yet comprehensive and rigorous treatment of modern asset pricing theory. Asset pricing is concerned with determining the value of an uncertain future payoff. Equivalently, it is concerned with explaining (variation in) expected returns on risky assets. It covers the following topics:
1. Expected utility, risk aversion and single period portfolio choice;
2. Mean-variance analysis and CAPM;
3. Multifactor pricing models;
4. Stochastic discount factors and the Fundamental Theorem of Asset Pricing;
5. Dynamic programming and pricing in incomplete markets;
6. Derivatives;
7. Stochastic calculus.

Course literature

Primary reading
Selected chapters from:
P: Pennacchi, G. (2008). Theory of Asset Pricing Addison-Wesley.
CLM: Campbell, J., Lo, A., MacKinley, A.C., 1997, The Econometrics of Financial Markets, Princeton University Press.
Selected articles and lecture notes and other material, to be made available via Canvas.
Further Reading
Selected chapters from:
C: Cochrane, J. (2005). Asset Pricing (revised edition), Princeton University Press.