Theoretical Asset Pricing

PhD404 - Spring 2025

This course analyzes the main models for the valuation of risky assets. It also presents a brief introduction to models of the microstructure of financial markets and macro-finance. The approach is mainly theoretical, but some references to the existing empirical evidence will be discussed. The course covers both static and dynamic models in discrete time, with no requirement for stochastic calculus.

The main references for this course are teaching notes from Rafael Repullo and books: J. Campbell (2018), Financial Decisions and Markets—A Course in Asset Pricing, Princeton University Press; J. Cochrane (2005), Asset Pricing, Princeton University Press; D. Duffie (2001), Dynamic Asset Pricing Theory. There will be detailed lecture notes for each topic.