Asset Pricing Theory

  • 15-weeks
  • 3 credits
  • Prerequisite: None

This course will build the foundation for all of the finance courses to follow. Specifically, there are four goals for each student to obtain: develop a fundamental knowledge of asset pricing theory under perfect capital markets, develop key analytic tools and modeling skills, develop basic academic writing skills, and gain exposure to state-of-the-art research.

Outline of Topics Covered:

  1. An Introduction to No Arbitrage Pricing and Continuous Time
  2. Asset Valuation
  3. Finite-lived Assets
  4. Options, Forwards, and Futures
  5. Bond Pricing Basics
  6. Term Structure Dynamics
  7. Individual Optimization
  8. Single Period Asset Pricing
  9. Multi-Period Asset Pricing in Discrete Time
  10. Multi-Period Asset Pricing in Continuous Time
  11. International Asset Pricing
  12. Transaction Costs and Spatial Separation

Typical Text:

Options, Futures, and Other Derivatives, Second Edition by John Hull

Finance in Continuous Time: A Primer by David C. Shimko

Kelley School of Business

Faculty & Research