Theoretical Asset Pricing



Time: 4.9. - 27.9.2017

Place: Helsinki, Aalto University School of Business, Chydenia Building, Runeberginkatu 22-24.

Teaching: Assistant Professor Peter Nyberg (Aalto University)

Exercises: Mr Markus Sihvonen (Aalto University)

15 h of lectures

Monday 4.9.2017 15 - 17 Chydenia, G-111
6.9.2017 9 - 12 Chydenia, G-109
Wednesday 13.9.2017 10 - 14 Chydenia, G-109
19.9.2017 10 - 13 Chydenia, G-109
Wednesday 20.9.2017 9 - 12 Chydenia, G-109

8 h of exercises

20.9.2017 13 - 16 Chydenia, G-109
Tuesday 26.9.2017 16 - 18 Chydenia, G-109
Wednesday 27.9.2017 14 - 17 Arkadia, E-125

Course topics/syllabus (including literature list): PDF

Access to the articles is subject to your home institutions’ subscriptions to the databases. If you have a problem with getting access to the course material, please contact GSF office gsf @ for advice. 

Lecture Notes:

Notes 0

Notes 1

Notes 2

Notes 3

Notes 4

Notes 5

Notes 6

Notes 7

Password for opening the course material will be e-mailed to the students.

Basic exercises

Set 1

Set 2

Password for opening the course material will be e-mailed to the students.


Time: 26.9 - 23.10.2017

Place: Helsinki, Aalto University School of Business

Teaching: Professor Claus Munk (Copenhagen Business School)

Exercises: Mr Markus Sihvonen (Aalto University)

20 h of lectures                                                                                     

26.9.2017 9 - 13 Chydenia, G-109
27.9.2017 9 - 14 Chydenia, G-109
11.10.2017 10 - 14 Chydenia, G-109
Thursday 12.10.2017 9 - 14 Chydenia, G-109
Friday 13.10.2017 8.30 - 10.30 Chydenia, G-109

Exercises: 8 h of exercises                                                                                       

Wednesday 4.10.2017 13 - 16 Arkadia, E-125
Thursday 19.10.2017 12 - 14 Chydenia, G-109
Monday 23.10.2017 12 - 15 Chydenia, G-111


Purpose: To provide participants with a firm and rigorous knowledge and understanding of asset pricing models of finance. The course covers fundamental concepts, relations, and models but it also outlines some recent trends in the development of asset pricing models. Both discrete-time and continuous-time models are discussed.

Prerequisites: Participants are assumed to have a broad knowledge of finance theory at the level of mainstream finance texts such as Bodie, Kane, and Marcus (2014), Brealey, Myers, and Allen (2014), or Hillier, Grinblatt, and Titman (2011). In particular, it is important that participants are acquainted with basic portfolio mathematics, the mean-variance analysis of optimal portfolio choice, the Capital Asset Pricing Model, the binomial and the Black-Scholes-Merton models of option pricing, and ba- sic concepts and relations from bond markets. Participants should have some familiarity with utility functions, basic statistics and probability theory, optimization problems, and vectors and matrices. I assume that participants have some experience with continuous-time modeling using stochastic pro- cesses at a level used in many option pricing texts, for example Chapter 14 in Hull (2014) will cover the basic needs in this respect.

Literature: Munk: Financial Asset Pricing Theory, Oxford University Press, 2013. Chapters 1-11.

Course outline/topics: PDF

Lecture notes:
Chapter 1

Chapter 2

Chapter 3

Chapter 4

Chapter 5

Chapter 6

Chapter 7

Chapter 8

Chapter 9

Chapter 10

Chapter 11

Set 1

Set 2

Set 3

Additional exercises

The password for opening the files will be e-mailed to all students.

List of Participants: PDF





Credit units: 6 ECTS cr.

Grading: The whole course will be examined by a written closed book examination. In order to pass the course, one needs at least 40% of the points from the exam.

Exam registration: Please register through this link. Please contact the office of GSF gsf @ if you have questions regarding the exam or if you wish to take the exam abroad.

Examination date and time: Wednesday, November 1, 10:00 - 14:00
Retake examination date and time: Tuesday December 5, 10:00 - 14:00

Examination places:

Helsinki: Aalto University School of Business, Chydenia, room G-109 (Both dates)
Vaasa: University of Vaasa
Oulu: University of Oulu, Department of Economics
Lappeenranta: Lappeenranta University of Technology
Turku: University of Turku, Turku School of Economics
Other locations: Doctoral students in other universities are requested to inform GSF by sending an e-mail to if they wish to take the exam in their home universities. The exam can be taken abroad where suitable exam supervision can be arranged. Please note that the exam must be written in presence of an exam supervisor. Thus, please submit the name of the exam supervisor at least 14 days before the examination.  Possible payment and arrangements for supervision should be made by the student.

Registration / Application


Participants: Doctoral students in finance. The course is also open for KATAJA as well as FDPE students with sufficient background in finance and/or economics. The course is also open for foreign doctoral students given that there is space in the course.

  • Doctoral students of GSF and FDPE: Please register through this link.
  • Doctoral students in related fields and doctoral students at foreign universities: Application form can be found here: PDF file or Word file. Please, send in addition to your complete contact information, a report on the status of your doctoral studies, and a brief CV. Please ask also your thesis advisor to send us a short letter of recommendation by-email. All the required documents should be sent by e-mail to
The deadline for registering in this course is 15.8.2017. All applicants will be informed of their acceptance soon after the deadline.