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
For information on how to register for this course, please visit https://www.unisg.ch/en/studying/exchange-programme/incoming-guest-students/guest-auditors-and-individual-course-participation/
To request the form for PhD students, please contact [email protected].