UCL School of Management

Module Fact Sheet

MSIN0103: Asset Pricing

Taught by
Antonio Guarino
Masters, level 7
MSc Finance students only
Term One
Delivery method
The module will be delivered over 10 weeks with 1 x 3-hour block each week. It is anticipated that the first 2 hours will reflect a conventional lecture approach with a series of hands-on activities in the final hour.
80% examination (2 hours); 2 x Individual Coursework (worth 5% each)
Previous Module Code

Course overview

The course is an introduction to the modern theory of asset pricing. We will have 10 lectures of three hours each. The first two hours will have a standard lecture approach. The last hour will sometimes be devoted to applications and problem solving. The course is theoretical. The empirics of asset pricing is covered in other courses.

Learning outcomes

The student will learn the foundations of asset pricing and, more specifically, the topics indicated below. The course is quantitative. The student will learn how to model asset pricing and how to solve complex problems. The student will learn theoretical models and their applications.

Topics covered

We will cover topics such as:

The role of financial markets and empirical regularities,

The stochastic discount factor,

Precautionary Saving,

Arrow-Debreu prices and equivalent martingale measures,

Market (in)completeness,

The law of one price and absence of arbitrage,

CAPM (capital asset pricing model) and APT (arbitrage pricing theory),

Mean-variance analysis, the efficient frontier,

The Sharpe ratio,

Hansen-Jagannathan Bounds,

The Equity Premium Puzzle.

Assessment summary

80% examination (2 hours); 2x Individual Coursework (worth 5% each)

Current students should refer to Moodle for specific details of the current year’s assessment.

Essential reading

Danthine and Donaldson, “Intermediate Financial Theory”, Elsevier.

john Cochrane, (2005), “Asset Pricing”, Princeton University Press

Kerry Back (2010), “Asset Pricing and Portfolio Choice Theory”, Oxford University Press

Stephen F. LeRoy and Jan Werner, (2001), “Principles of Financial Economics”, Cambridge University Press (optional).

Yvan Lengwiler, (2006), Microfoundations of Financial Economics: An Introduction to General Equilibrium Asset Pricing

Past versions of this module

MSIN0103 18/19

MSING063 17/18

Last updated Wednesday, 26 June 2019