Asset pricing
FIN-701 / 3 credits
Teacher: Bretscher Lorenzo
Language: English
Remark: To register, please contact edfi@epfl.ch. The timetable and location is available on the Google doc below under "Websites" (1 tab per term).
Frequency
Every year
Summary
Its main objective is to rigorously develop the foundations of modern financial economics and asset pricing theory. While the focus of the course is theoretical, we will consider empirical evidence alongside. The course is designed for first-year PhD students in finance.
Content
This course provides an introduction to financial economics. Its main objective is to rigorously develop the foundations of modern financial economics and asset pricing theory. While the focus of the course is theoretical, we will consider empirical evidence alongside. The course is designed for first-year PhD students in finance, and assumes familiarity with basic microeconomics and macroeconomics, as well as mathematics and statistics.
Topic I: State Prices and Arbitrage
Topic II: Equilibrium in a Single Period (Two Dates) Model
Topic III: Linear Factor Models
Topic IV: Discrete-time Multi-period Models
Topic V: Household Finance
Topics VI: Consumption-based Models / Intertemporal Models
Topics VII: Recent Developments in Asset Pricing
Assessment methods
Written Exam
Resources
Websites
Moodle Link
In the programs
- Exam form: Written (session free)
- Subject examined: Asset pricing
- Courses: 28 Hour(s)
- Exercises: 30 Hour(s)
- Type: optional