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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 2023
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. Asset Pricing Theory
  3. Derivatives
  4. Behavioral Finance
  5. Web 3.0
Date Time
Tuesday, 05.09.2023 13:45 - 17:00
Thursday, 07.09.2023 08:00 - 11:15
Monday, 11.09.2023 08:00 - 11:15
Thursday, 14.09.2023 13:45 - 17:00
Monday, 18.09.2023 08:00 - 11:15
Thursday, 21.09.2023 08:00 - 11:15
Monday, 25.09.2023 08:00 - 11:15
Wednesday, 04.10.2023 08:00 - 09:30
Understanding of portfolio theory concepts, such as the CAPM; Data Work Skills; Asset Pricing & Stochastic Discount Factor Approach; Stochastic Calculus; Derivatives and Different Option Pricing Models;Awareness of behavioral / psychological biases and respective impact on finance and investment practice; Understanding of Web 3.0 and Blockchain Applications in Finance.
Brealey, R. A., S. C. Myers, and F. Allen (2022). Principles of Corporate Finance - Global Edition, Irwin McGraw-Hill, 14th edition.Fama, E. (1965). Random Walks in Stock Market Prices. Financial Analysts Journal, September/October 1965 (reprinted January/February 1995).Cochrane, J. H. (2005). Asset Pricing, Princeton University Press.Hull, J. C. (2018). Options, Futures, and Other Derivatives, Pearson, 9th Global Edition.Black, F. and M. Scholes (1973). The pricing of options and corporate liabilities, Journal of Political Economy.Barberis, N. and R. Thaler. (2003). A survey of behavioral finance, Handbook of the Economics of Finance, 1, pp.1053-1128.Thaler, R. H. (1999). Mental Accounting Matters, Journal of Behavioral Decision Making Vol. 12, pp. 183-206Nakamoto, S. (2008). Bitcoin: A peer-to-peer electronic cash system.Hellwig, D., G. Karlic, and A. Huchzermeier (2020). Build your own Blockchain, Springer.Werner, S., D. Perez, L. Gudgeon, A. Klages-Mundt, D. Harz, and W. J. Knottenbelt (2021). SoK (Systematization of Knowledge): Decentralized Finance (DeFi).Ordano, E., A. Meilich, Y. Jardi, and M. Araoz (2017). Decentraland - A blockchain-based virtual world, Whitepaper.Huynh, T. L. D., M. O. Rieger, and M. Wang (2022). Cross-country comparison in dishonest behaviour: Germany and East Asian countries. Economics Letters, 215, 110480.
Interactive teaching
Group assignments and Q&A / tutorial session
Moodle Quizzes(24%) and Exam (76%)
Foundations of Finance
150 hours
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