Theoretical Asset Pricing


Time: 8.9. - 28.9.2021

Place: Otaniemi, Espoo, Aalto University School of Business

Teaching: Associate Professor Peter Nyberg (Aalto University)

Exercises: Mr Aleksi Pitkäjärvi (Aalto University)

15 h of lectures

Wednesday 8.9.2021 10:00 - 13 U264 K-Ryhmä, Otakaari 1
9.9.2021 10:00 - 13 U264 K-Ryhmä, Otakaari 1
Wednesday 15.9.2021 10:00 - 13 V002, Ekonominaukio 1
22.9.2021 10:00 - 13 V002, Ekonominaukio 1
Thursday 23.9.2021 10:00 - 13 T003, Ekonominaukio 1

8 h of exercises

Please note the changes to the schedule in bold below.

16.9.2021 10:00 - 14 V002, Ekonominaukio 1
Monday 27.9.2021 16:00 - 18 T004, Ekonominaukio 1
Tuesday 28.9.2021 12:00 - 14 V002, Ekonominaukio 1

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: Introduction

Lecture notes 1

Lecture notes 2

Lecture notes 3

Lecture notes 4

Lecture notes 5

Lecture notes 6

Lecture notes 7

Exercises: Prerequisite Review

Problem Set 1

Problem Set 2

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


Time: 29.9 - 21.10.2021

Place: Otaniemi, Espoo, Aalto University School of Business

Teaching: Professor Claus Munk (Copenhagen Business School)

Exercises: Mr Aleksi Pitkäjärvi (Aalto University)


Lectures: 20 h of lectures        

Please note the changes to the schedule in bold below.                                                                             

Tuesday 28.9.2021 17:00 - 20 V002, Ekonominaukio 1
29.9.2021 9:00 -13 V002, Ekonominaukio 1
30.9.2021 9:00 -13 U262 KPMG, Otakaari 1
Wednesday 13.10.2021 9:00 - 12 & 13:00 - 15 V002 (1st part) & T004, Ekonominaukio 1 (2nd part)
Thursday 14.10.2021 9:00 -13 T003, Ekonominaukio 1

Exercises: 8 h of exercises                                                                                       

Tuesday 5.10.2021 10:00 - 14 V001, Ekonominaukio 1 
Thursday 21.10.2021 12:00 - 16 V002, Ekonominaukio 1


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

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.

Examination date and time: Tuesday, November 2, 2021 at 10:00-14:00 in V002 (Ekonominaukio 1, Espoo). Please register for the exam through this link.

Retake examination date and time:
Friday, December 17, 2021 at 10:00-14:00 in V001 (Ekonominaukio 1, Espoo). Please register for the retake exam by sending an email to

Note: The students are allowed to use basic calculators (with powers, logs, exponentials etc.) in the exam, but not programmable ones.

Examination places:
Aalto University School of Business
Vaasa: University of Vaasa
University of Oulu
Lappeenranta University of Technology
University of Turku
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 (finance & economics): 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 for this course is 1.9.2021.