Asset Pricing for Research Students

This information is for the 2019/20 session.

Teacher responsible

Dr Georgy Chabakauri CON 1.01, Dr Dong Lou CON 1.01 and Prof Dimitrios Vayanos CON 1.01


This course is compulsory on the MRes/PhD in Finance. This course is available on the MPhil/PhD in Accounting. This course is available with permission as an outside option to students on other programmes where regulations permit.

Course content

The course is divided into two parts relating to theoretical and empirical asset pricing. The theoretical half of the course covers dynamic models of frictionless markets, both in discrete and in continuous time, and models with frictions, such as asymmetric information, costs of search and market participation, leverage constraints and delegated asset management. The empirical half of the course is dedicated to an empirical evaluation of asset-pricing models. Representative-agent models (with power, habit and recursive preferences) and their application to the valuation of equities are covered. Next, no-arbitrage term-structure and option-pricing models are discussed. The class concludes with equilibrium and reduced-from models of currencies.


30 hours of lectures in the MT. 30 hours of lectures in the LT.

Indicative reading

  • Darrell Duffie Asset Pricing Theory, Princeton University Press
  • David Kreps, The Black-Scholes-Merton Model as an Idealization of Discrete-Time Economies, Econometric Society Monograph, Cambridge University Press.
  • John Campbell, 1999, Asset prices, consumption, and the business cycle, in J. B. Taylor and M. Woodford, Eds., Handbook of Macroeconomics, Volume 1C, Elsevier Science B.V
  • John Cochrane, 2004, Asset Pricing, Princeton University Press
  • Kenneth Singleton, 2006, Empirical Dynamic Asset pricing, Princeton University Press


Exam (90%, duration: 3 hours) in the summer exam period.
Project (10%) in the LT.

Key facts

Department: Finance

Total students 2018/19: 7

Average class size 2018/19: 7

Value: One Unit

Guidelines for interpreting course guide information

Personal development skills

  • Application of numeracy skills
  • Specialist skills