Code:

BERMASC006

Course type:

Advanced specialisation course

Long name:

Asset Pricing

ECTS:

5

Language:

English

Lecturer(s):

Prof. dr. G.T. Post

Faculty:

ESE

Number of lectures:

10

Hours per lecture:

3

Course contents:

The field of asset pricing aims to explain the prices of financial assets such as stocks, fixed income instruments and derivative securities. The field is highly relevant for financial management, because asset pricing models form the basis for many practical management applications such as capital budgeting, risk management, portfolio selection and performance evaluation. This course is an introduction to the fundamentals of asset pricing. We start off with the basic concepts of expected utility, no arbitrage, state prices and pricing kernels. We then turn to the equilibrium and linear pricing of securities, and the valuation of contingent claims.

Examination:

Sit-in, written exam: 70%; take-home assignments: 3 times 10%.

Literature:

John H. Cochrane (2001), Asset Pricing, Princeton University Press.