• Graduate program
    • Why Tinbergen Institute?
    • Program Structure
    • Courses
    • Course Registration
    • Recent PhD Placements
    • Admissions
    • Facilities
  • Research
  • News
  • Events
    • Events Calendar
    • Tinbergen Institute Lectures
    • Annual Tinbergen Institute Conference
    • Events Archive
    • Summer School
      • Econometric Methods for Forecasting and Data Science
      • Introduction in Genome-Wide Data Analysis
      • Business Data Science Summer School Program
  • Times
Home | Courses | Asset Pricing

Asset Pricing

  • Teacher(s)
    Roger Laeven, Michel Vellekoop
  • Research field
    Finance, Finance
  • Dates
    Period 3 - Jan 04, 2021 to Feb 26, 2021
  • Course type
  • Program year
  • Credits

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.