- 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.

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 is mandatory.

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

60% Final Exam

30% Problem Sets and or presentations

10% Participation in class

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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.

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

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!