Institute for Finance - Department Financial Engineering and Derivatives

Asset Pricing

  • type: Lecture (V) & Practice (Ü)
  • : Master
  • semester: SS 2021
  • place: online
  • time: Live question sessions: 19.04., 26.04., 03.05., 10.05., 17.05., 31.05., 14.06., respectively 10:00-11:30 am

    Bonus exercices: 07.06., 10:00-11:30 am
    Case study presentation: 05.07., 08:00-11:15 am

  • lecturer: Jun.-Prof. Dr. Julian Thimme
    Michael Reichenbacher 
    Viktoria Klaus 
  • sws: 2+1
  • ects: 4,5

Brief Description

The lecture Asset Pricing deals with the valuation of risky payment claims. The time structure and the uncertain amount of the payment must be taken into account. The lecture introduces a stochastic discount factor as well as a central valuation equation which can be used to evaluate any kind of payment claims. This includes shares as well as bonds or derivatives. The first part of the lecture presents the theoretical framework, the second part deals with empirical questions of asset pricing.

References

  • Basic Literature
    • Cochrane, J. (2005). Asset pricing - Rev. ed., Princeton Univ. Press.
  • To repeat/deepen
    • Bodie, Z.; Kane, A.; Marcus, A. (2011). Investments and Portfolio Management - 9th ed., McGraw-Hill.
    • Campbell, J.; Lo, A.; MacKinlay, A. (1997). The econometrics of financial markets - 2. printing, with corrections, Princeton Univ.