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Capital Market Theory-F-

This course is based on the Stochastic Discount Factor (SDF) approach, from which different one period and continuous time capital market models will be derived. The course lays the foundations of WHU's Master in Finance and entails comparatively advanced quantitative methods. Students attending the course should be interested in continuous time finance, stochastic calculus, and mathematical proofs. Each of the steps will be carefully developed and illustrated by applications. Moreover, talks by selected practitioners will shift the rigorous development of financial models into relevant practical applications. The basic textbook for the course will be Cochrane (2005), which requires a considerable amount of quantitative ability and interest on the student's side. All models, including contingent claims models and also inter-temporal models, can be derived out of the Euler equation by the SDF approach.
Kurs ID
Art des Kurses
MSc Kurs
HS 2021
Prof. Dr. Markus Rudolf
Bitte beachten Sie, dass AustauschstudentInnen im BSc-Programm der WHU eine höhere Anzahl an Credits erwerben als hier aufgeführt. Für weitere Informationen wenden Sie sich bitte direkt an das [International Relations Office].
The preliminary agenda includes the following topics:
  1. Portfolio Theory
  2. Derivatives
  3. Asset Pricing
  4. Blockchains
  5. Behavioral Finance
Date Time
Monday, 13.09.2021 08:00 - 11:15
Wednesday, 15.09.2021 08:00 - 09:30
Thursday, 16.09.2021 08:00 - 11:15
Monday, 20.09.2021 08:00 - 09:30
Wednesday, 22.09.2021 08:00 - 09:30
Wednesday, 22.09.2021 15:30 - 18:45
Thursday, 23.09.2021 09:45 - 13:00
Tuesday, 28.09.2021 08:00 - 11:15
Tuesday, 28.09.2021 15:30 - 17:00
Wednesday, 29.09.2021 08:00 - 09:30
Friday, 15.10.2021 16:00 - 17:30
Stochastic Discount Factor Approch, Stochastic Calculus, CAPM, Data Work Skills, Option Pricing, Understanding of Blockchain Applications, Awareness of psychological biases and respective impact on investment practice
Interactive teaching
Assignment with tutorial session
Moodle Quizzes(24%) and Exam (76%)
Foundations of Finance
150 hours
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