Syllabus

Title
6123 Asset Pricing
Instructors
Assist.Prof. Dr. Rüdiger Weber
Contact details
Type
PI
Weekly hours
2
Language of instruction
Englisch
Registration
02/01/21 to 02/28/21
Registration via LPIS
Notes to the course
Subject(s) Doctoral/PhD Programs
Dates
Day Date Time Room
Monday 04/19/21 09:00 AM - 12:00 PM Online-Einheit
Tuesday 04/20/21 09:00 AM - 12:00 PM Online-Einheit
Tuesday 04/27/21 09:00 AM - 12:00 PM Online-Einheit
Tuesday 05/04/21 09:00 AM - 12:00 PM Online-Einheit
Tuesday 05/11/21 09:00 AM - 12:00 PM Online-Einheit
Tuesday 05/18/21 09:00 AM - 12:00 PM Online-Einheit
Tuesday 05/25/21 09:00 AM - 12:00 PM Online-Einheit
Contents

- Introduction into core theoretical concepts such as preferences over lotteries, Arrow-Debreu securities, arbitrage, the law of one price, market completeness, etc.

- In-depth discussion of consumption-based asset pricing models in discrete and continuous time.

Learning outcomes

The students acquire a basic knowledge of asset pricing and the most prominent consumption-based models. The focus will be on theory and the empirics of aggregate market level outcomes in consumption-based asset pricing.

Attendance requirements

Attendance is mandatory.

Teaching/learning method(s)

Taught course,Whiteboard, open discussions, possibly presentations by students.

Assessment

80% Final Exam

10% Problem Sets and or presentations

10% Participation in class

Readings
1 Author: Cochrane, J.H.
Title:

Asset Pricing


2 Author: Campbell, John
Title:

Financial Decisions and Markets


3 Author: Shreve, Steven E.
Title:

Stochastic calculus for finance II: Continuous-time models.


4 Author: Wälde, Klaus
Title:

Advanced Intertemporal Optimization. PDF available here: https://www.waelde.com/pdf/AIO.pdf


Recommended previous knowledge and skills

I expect you to have some knowledge of stochastic calculus, differential equations, be able to apply Ito's lemma, invert matrices, dynamic programming (Bellman and Hamilton-Jacobi-Bellman equations), value functions, basic microeconomic theory, equilibrium concepts, L'Hospital's rule.

If you are not comfortable with these concepts, please familiarize yourself with them prior to the course.

Availability of lecturer(s)

You can email me at ruweber@wu.ac.at or just drop by.

Other

Grades are based on the (quality of) solution of exercises, presentations, and a final written test (exact weights too be determined). This is a PhD course, I expect you to participate actively, ask questions, etc. I want
everyone (including myself) to have fun. There are no dumb questions and everything can be used to deepen your and my understanding. Quality of your contributions in class is only of second order importance for your participation grade. No hesitations!

Last edited: 2021-02-15



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