Asset Pricing Theory
(Master in Economics & Finance, 1st year)
This course presents the basics of asset pricing in depth.
Student feedback about the course
“I would definitely recommend this course to future students for the following reasons: 1. You will improve your analytical thinking. Mr. Holcblat has tirelessly encouraged us to actively use our brains and to see the big picture while staying rigorous. 2. Strong theoretical background which can be later used for practical applications. 3. It was just cool to really think during the class and to dive deeper into some concepts.”
Outline
Topic 1: Introduction to Asset Pricing Theory
Topic 1.1: On the Course and Asset Pricing
Topic 1.2: Asset Pricing without Risk
Application: Present value formula
Topic 2: Elements of Probability for Asset Pricing
Topic 2.1: Probability Space
Topic 2.2: Moments
Application : ARCH model
Topic 3: Absolute Pricing with Risk
Topic 3.1: One-Period Consumption-Based Asset Pricing
Topic 3.2: Multiperiod Consumption-Based Asset Pricing
Application: CAPM & CCAPM models
Topic 4: Factor Pricing*
From factor models to expected return-beta representations
Empirical factor models
Application: APT
Topic 5: Relative Pricing Fundamentals
Topic 4.1: Discrete time
Topic 4.2: Continuous time
Application: Binomial model & Black Scholes model
*indicates topics that may be skipped due to time constraint.