Markus K. Brunnermeier








Fin 501: Asset Pricing Theory I: Pricing Models and Derivatives

Fall 2009

Lecture Slides Topic
01 Introduction - Empirical Evidence
One Period Model
02 Securities Structure: Options, Forward, Futures
03 Pricing + Single Factor State-price Beta Model
04 Risk Measures and Preferences
05 Aggregation and Pareto Efficiency
06 Equity Premium Puzzle
07 Mean-Variance Analysis, Portfolio Theory and CAPM
  Multi Period Model
08 Filtrations, Event Prices, Dynamic Completion, Ponzi Schemes, Rational Bubbles
09 Fixed Income, Futures and Swaps
10 Option Pricing
11 Equilibrium Models: ICAPM, Hedging Demand, Liquidity Risk
12 Multiple Factor Pricing Models (APT, FF)
13 Market Efficiency - Asymmetric Information and Frictions


Problem Sets Topic
01 One Period Model
02 Risk Preferences
03 Last year's midterm
04 Mean-Variance Analysis, Portfolio Theory and CAPM (traditional derivation) [optional]
05 CAPM, Factor Pricing Models
06 Multi Period Model
07 Options
08 Multiple Factor Pricing
09 Market Efficiency