Course Details

The course offers a PhD-level introduction to asset pricing. It focuses on developing a deep understanding of modern asset pricing theory, which underlies the valuation of financial instruments such as stocks, bonds, derivatives, and other investments. The main emphasis is on a rigorous treatment of the stochastic discount factor—the central concept linking an asset’s expected return to its risk characteristics—in both static and multi-period market settings.<br> <b>Content</b><br> The class considers discrete-time asset valuation. Students learn how asset pricing theories can be phrased by using the notion of the stochastic discount factor.<br> 1. Stylized facts of asset pricing & Introduction<br> 2. Stochastic discount factor and aribtrage-free markets<br> 3. Mean variance analysis<br> 4. Discount factors, betas, and mean-variance efficient frontiers<br> 5. Dynamic security markets<br> 6. Risk-neutral pricing<br> 7. Portfolio choice and equilibrium<br> 8. Consumption-based AP<br> <b>General information</b><br> Please see <a href="https://www.unisg.ch/en/studying/exchange-programme/incoming-guest-students/guest-auditors-and-individual-course-participation/">this website</a> for information on how to participate in the course. Please write to <a href="mailto:phd@unisg.ch">phd@unisg.ch</a> by <b>September 7, 2025</b> and request the form that is needed to register for an individual course participation at the doctoral level.