Kies de Nederlandse taal
Course module: USEMAP
Asset Pricing
Course infoSchedule
Course codeUSEMAP
ECTS Credits5
Category / LevelM (Master)
Course typeCourse
Language of instructionEnglish
Offered byFaculty of Law, Economics and Governance; Graduateschool REBO; International Economics and Business;
Contact personE. Ramezanifar
Contactperson for the course
E. Ramezanifar
Other courses by this lecturer
Teaching period
3  (03/02/2020 to 19/04/2020)
Teaching period in which the course begins
Time slotC: MON-afternoon, TUE-afternoon,THU-morning
Study mode
RemarkRequired elective in master Banking and Finance; elective in masters IM, BDE, FM and EP.
Enrolment periodfrom 28/10/2019 up to and including 24/11/2019
Course application processOsiris
Enrolling through OSIRISYes
Enrolment open to students taking subsidiary coursesNo
Waiting listNo
Please note the prerequisites for this course at the bottom of the course description.

This course covers the fundamentals of asset pricing in discrete and continuous time. We start off with consumption based asset pricing where we develop the concepts of stochastic discount factors/ marginal rate of substitution, no arbitrage, and risk sharing in contingent claim markets. The course proceeds with discussing market efficiency in connection with linear factor models such as CAPM and Fama-French and then proceeds to option pricing using Black Scholes. In addition, the mathematical tools and programming language are necessary to understand the material will be covered.
Learning objectives
Understand, apply and critically evaluate various theoretical and applied approaches towards asset pricing.

Lectures and Seminars (review sessions). 

Assessment method
•         Final Exam (35%, individual);
•         Midterm Exam (35%, individual);
•         Case and exercises (30%)

Sufficient pre-knowledge in "probability and statistics", "basic investment and finance", "mathematics" and programming are required.
Indication of the required level: 1- Probability and Statistics for Finance, by Svetlozar T. Rachev; 2- Investments Global Edition, by Bodie, Kane, and Marcus.
In case online access is required for this course and you are not in the position to buy the access code, you are advised to contact the course coordinator for an alternative solution. Please note that access codes are not re-usable meaning that codes from second hand books do not work, as well as access codes from books with a different ISBN number. Separate or spare codes are usually not available.
Entry requirements
You must meet the following requirements
  • Enrolled for a degree programme of faculty Faculty of Law, Economics and Governance
Required materials
Asset Pricing, John H. Cochrane,
Selected academic articles and slides;
Study guide
Course manual.
Instructional formats


Midterm Exam
Test weight35
Minimum grade1

Case and Exercises
Test weight30
Minimum grade1

Final Exam
Test weight35
Minimum grade1

Kies de Nederlandse taal