The course deals with Dynamic Asset Pricing Theory (DAPT)

The aim of the course is to analyse asset pricing within a dynamic general equilibrium model. In particular, it adopts the stochastic discount factor approach in modelling the pricing of bonds and stocks. It also focuses on the consumption-CAPM theory and stresses its difficulties in matching the empirical evidence regarding time-series properties of risk premia. Finally, the course introduces recent advances in modelling the link between macroeconomic variables and asset returns.