Asset Pricing Theory 

(Master in Finance & Economics, 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

• Applications: Present value formula & Valuation

Topic 2: Elements of Probability for Asset Pricing

• Topic 2.1: Probability Space

• Topic 2.2: Moments

• Applications : Volatility clustering & 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 

• Applications: Mutual funds ranking & CAPM & CCAPM models for Private Equity (GPME)

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

• Applications: Binomial model  & Black Scholes model for derivatives and stock options 

*indicates topics that may be skipped due to time constraint.