Theoretical Asset Pricing

Part I

Time: 5.-20.9.2024

Place: Aalto University School of Business, Otaniemi, Espoo

Registrations: The deadline for registrations is August 28, 2024. See registration/application details at the bottom of the page.


Teaching: Associate Professor Peter Nyberg (Aalto University)

Exercises: Mr Zitan Guo (Aalto University)


Lectures: 16 h of lectures (16 x 45 minutes). Please note changes to the teaching schedule in bold below.

DAYDATETIMEPLACE
(Otaniemi Campus Map)
Thursday5.9.20249:00 – 13U250a, Otakaari 1
Friday6.9.20249:00 – 121572 Noether, Kide (Konemiehentie 1)
Wednesday11.9.202412:00 – 15U264 K-Ryhmä, Otakaari 1
Wednesday
CANCELED		18.9.202412:00 – 15U249, Otakaari 1
Thursday19.9.202410:00 – 13U250a, Otakaari 1
Friday20.9.202414:00 – 171572 Noether, Kide (Konemiehentie 1)

Exercises: 8 h of exercises (8 x 45 minutes)

DAYDATETIMEPLACE
(Otaniemi Campus Map)
Thursday12.9.20249:00 – 13U250a, Otakaari 1
Friday
CANCELED		20.9.20248:00 – 12U264 K-Ryhmä, Otakaari 1
Tuesday24.9.20249:00 – 13U249, Otakaari 1

Course topics/syllabus (including literature list):

Downloadable fileTAP Syllabus 2024 (.pdf)

Access to the articles is subject to your home institutions’ subsciptions to the databases. Hard copies of all readings are available for consultation at GSF office, Aalto University School of Business, room T317.

Lecture notes:

Downloadable fileIntroduction (.pdf)
Downloadable fileLecture notes 1 (.pdf)
Downloadable fileLecture notes 2 (.pdf)
Downloadable fileLecture notes 3 (.pdf)
Downloadable fileLecture notes 4 (.pdf)
Downloadable fileLecture notes 5 (.pdf)
Downloadable fileLecture notes 6 (.pdf)
Downloadable fileLecture notes 7 (.pdf)

Exercises:

Downloadable fileExercise Set 1 (.pdf)
Downloadable fileExercise Set 2 (.pdf)

The password for opening the files will be sent to course participants.

Part II

Time: 25.9.-14.10.2024

Place: Aalto University School of Business, Otaniemi, Espoo

Teaching: Professor Claus Munk (Copenhagen Business School)

Exercises: Mr Zitan Guo (Aalto University)

Lectures: 20 h of lectures (20 x 45 minutes)

DAYDATETIMEPLACE
(Otaniemi Campus Map)
Wednesday25.9.202412:00 – 16U264 K-Ryhmä, Otakaari 1
Thursday26.9.202410:00 – 14T003, Ekonominaukio 1
Friday27.9.20249:00 – 12U006, Ekonominaukio 1
Wednesday9.10.20249:00 – 12 & 13:00-15U006, Ekonominaukio 1 & U264 K-Ryhmä, Otakaari 1
Thursday10.10.20249:00 – 13U264 K-Ryhmä, Otakaari 1

Exercises: 8 h of exercises ( 8 x 45 minutes)

DAYDATETIMEPLACE
(Otaniemi Campus Map)
Tuesday1.10.202410:00 – 141572 Noether, Kide (Konemiehentie 1)
Monday14.10.202412:00 – 161572 Noether, Kide (Konemiehentie 1)

Course objective: 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:
Downloadable fileTAP 2024 Part 2 Course Outline (.pdf)

Lecture notes:

Downloadable fileChapter 1 (.pdf)
Downloadable fileChapter 2 (.pdf)
Downloadable fileChapter 3 (.pdf)
Downloadable fileChapter 4 (.pdf)
Downloadable fileChapter 5 (.pdf)
Downloadable fileChapter 6 (.pdf)
Downloadable fileChapter 7 (.pdf)
Downloadable fileChapter 8 (.pdf)
Downloadable fileChapter 9 (.pdf)
Downloadable fileChapter 10 (.pdf)
Downloadable fileChapter 11 (.pdf)

Exercises:

Downloadable fileExercise Set 1 (.pdf)
Downloadable fileExercise Set 2 (.pdf)
Downloadable fileAdditional exercises (.pdf)

The password for opening the files will be sent to course participants.

Access to the articles is subject to your home institutions’ subsciptions to the databases. Hard copies of all readings are available for consultation at GSF office, Aalto University School of Business, room T317.

Credit units: 6 ECTS cr.

Participants: Doctoral students in finance. The course is also open for KATAJA as well as FDPE and Helsinki GSE 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.

Participant list:

Downloadable fileParticipant list (.pdf)

Examinations

Grading: The whole course will be examined by a written closed book examination. In order to pass the course, one needs at least 50% of the points from the exam.

Examination dates and times:

Examination date and time: Tuesday, October 29, at 10:00-14:00 in U250a, Otakaari 1, Espoo. Please register for the exam through this link. The registration link will be closed one week prior to the exam.

Retake exam: Tuesday, December 17, at 10:00-14:00 in V002, Ekonominaukio 1. Please register for the retake exam by sending a message to gsf@aalto.fi at least one week prior to the exam date.

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

If you wish to take the exam in your home university (other than GSF member university), please see instructions below.

Exam locations:

Espoo: Aalto University School of Business
Jyväskylä: University of Jyväskylä
Lappeenranta: Lappeenranta University of Technology
Oulu: University of Oulu
Turku: University of Turku
Vaasa: University of Vaasa

Other locations: Doctoral students in other universities are requested to inform the GSF by sending an e-mail to gsf@aalto.fi 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 the 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

  • Doctoral students of GSF, FDPE and Helsinki GSE: Please register through this link.
  • Doctoral students in related fields and doctoral students at foreign universities: Application form can be found below (both in PDF and Word format). In addition to the application form, please also send a report on the status of your doctoral studies, and a brief CV. Please also ask your thesis advisor to send us a short letter of recommendation by-email. All the required documents should be sent by e-mail to gsf@aalto.fi. All applicants will be informed of their acceptance soon after the registration deadline.
Downloadable fileCourse application (PDF file) (.pdf)
Downloadable fileCourse application (Word file) (.doc)

The deadline for registations to this course is August 28, 2024.