Course Catalogue

The course offers a PhD-level introduction to asset pricing. It focuses on developing a deep understanding of modern asset pricing theory, which underlies the valuation of financial instruments such as stocks, bonds, derivatives, and other investments. The main emphasis is on a rigorous treatment of the stochastic discount factor—the central concept linking an asset’s expected return to its risk characteristics—in both static and multi-period market settings.
Content
The class considers discrete-time asset valuation. Students learn how asset pricing theories can be phrased by using the notion of the stochastic discount factor.
1. Stylized facts of asset pricing & Introduction
2. Stochastic discount factor and aribtrage-free markets
3. Mean variance analysis
4. Discount factors, betas, and mean-variance efficient frontiers
5. Dynamic security markets
6. Risk-neutral pricing
7. Portfolio choice and equilibrium
8. Consumption-based AP
General information
Please see this website for information on how to participate in the course. Please write to [email protected] by September 7, 2025 and request the form that is needed to register for an individual course participation at the doctoral level.