Welcome to my Asset Pricing content site. Here you will find a collection of notebooks related to the asset pricing courses I teach.
The notebooks cover equilibrium pricing, stochastic discount factors, and continuous time finance. They are organized by topic and available in both HTML and PDF formats. I typically use a subset of these in my Topics in Quantitative Finance (FIN 5018) class at WashU, and some of this material was developed when I taught the PhD-level Asset Pricing course at ESSEC Business School.
The material is split into two parts. Part I: Discrete Time covers portfolio theory, no-arbitrage pricing, preferences, and multiperiod economies. Part II: Continuous Time reformulates these ideas with Itô calculus and applies them to consumption-portfolio choice, derivatives, and bond pricing.
I will continue adding and refining content so this site remains a reliable companion for all my asset pricing-related classes.