Asset Pricing and Financial Contracts

A.Y. 2020/2021
12
Max ECTS
80
Overall hours
SSD
SECS-P/01
Language
English
Learning objectives
Module Asset Pricing
The course aims to provide a good knowledge of the core principles and topics of modern asset pricing theory. It presents key concepts, relations, and models of asset pricing to develop a sound understanding of the pricing of financial assets under realistic conditions of a multiperiod stochastic environment with incomplete markets. The course covers various theories from the Stochastic Discount Factor Theory to the Consumption Capital Asset Pricing Model and discusses practical issues such as the equity premium puzzle.

Module Financial Contracts
This introductory course in financial contracts covers the basic contract theory as well as applications to financial contracts theory. It provides students with a theoretical framework for understanding the origin and the characteristics of current financial contracts and also with the knowledge needed for taking more advanced courses in microeconomics and finance.
Expected learning outcomes
Module Asset Pricing
Students are expected to acquire the knowledge of Asset Pricing Theory. In particular, they will be able to understand: i) The different theories of Asset Pricing (Stochastic Discount Factor Theory, Capital Asset Pricing Model, Intertemporal CAPM, Arbitrage Theory, etc.); The pricing of financial assets in complete and incomplete markets and their determinants (risk factors, risk aversion and time preferences); iii) risk premia and default premia. Students will develop the basic skills for asset pricing analysis with special attention to the modeling of the theoretical principles.

Module Financial Contracts
On completion of the course the student should:
- be familiar with the fundamental assumptions underlying basic contract theory and asymmetric information theory;
- know how to explain the main features of actual financial contracts by contract theory and asymmetric information theory;
- explaining the role of banks by adopting contract theory and asymmetric information theory;
- be prepared to study microeconomics and finance at a more advanced level.
Course syllabus and organization

Single session

Responsible
Lesson period
Second trimester
Module Asset Pricing
SECS-P/01 - ECONOMICS - University credits: 6
Lessons: 40 hours
Professor: Sorbo Jacopo
Module Financial Contracts
SECS-P/01 - ECONOMICS - University credits: 6
Lessons: 40 hours
Professor: Sorbo Jacopo