Advances in Asset Pricing Theory

Introduction

This course introduces students to recent developments in asset pricing theory. The main purpose is to rigorously study the economic and mathematical aspects of leading asset pricing models.

Topics covered include multi-period consumption or production based asset pricing models with heterogeneous agents, multiple cash-lows, and overlapping generations. Methods used include continuous time methods and Malliavin derivatives.

Course content

1. The Lucas model in continuous time

2. Various extensions of the consumption-based asset pricing model in continuous time with focus on heterogeneous agent models

3. Habits versus long-run risks

4. Production-based asset pricing