This course is an introduction to the modern microeconomic theory of financial markets. We start with basic optimization problems, utilities and the Markowitz mean/variance portfolio choice. Then, we study equilibrium models of Sharpe/Lintner (CAPM) and the consumption capital asset pricing model (CCAPM) and its empirical implications and applications, including the famous Black-Littermal model.

This is a course on equilibrium asset pricing in heterogeneous economies. We study the long run behavior of asset prices in heterogeneous complete market economies and analyze the effects of heterogeneous information on asset prices, in particular, in the classical Grossman-Stiglitz and Glosten-Milgrom models.

This lecture covers the mathematical modelling of interest-rate and credit risks and the application of quantitative models to the pricing of interest-rate and credit derivatives.