Universität Wien
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040181 KU Advanced Asset Pricing (MA) (2026S)

Asset Pricing 2

4.00 ECTS (2.00 SWS), SPL 4 - Wirtschaftswissenschaften
Prüfungsimmanente Lehrveranstaltung
VOR-ORT

Advanced Finance for the Research MA
Asset Pricing II for the Banking and Finance MA
Moodle

An/Abmeldung

Hinweis: Ihr Anmeldezeitpunkt innerhalb der Frist hat keine Auswirkungen auf die Platzvergabe (kein "first come, first served").

Details

max. 50 Teilnehmer*innen
Sprache: Englisch

Lehrende

Termine (iCal) - nächster Termin ist mit N markiert

Participation in the introductory meeting at May 11th is mandatory.

The final will take place at Monday, June 29th from 8-9:30 in HS 6, OMP 1

  • Montag 11.05. 08:00 - 09:30 Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Mittwoch 13.05. 08:00 - 09:30 Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Montag 18.05. 08:00 - 09:30 Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Mittwoch 20.05. 08:00 - 09:30 Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Mittwoch 27.05. 08:00 - 09:30 Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Montag 01.06. 08:00 - 09:30 Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Mittwoch 03.06. 08:00 - 09:30 Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Montag 08.06. 08:00 - 09:30 Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Mittwoch 10.06. 08:00 - 09:30 Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Montag 15.06. 08:00 - 09:30 Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Mittwoch 17.06. 08:00 - 09:30 Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Montag 22.06. 08:00 - 09:30 Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Mittwoch 24.06. 08:00 - 09:30 Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Montag 29.06. 08:00 - 09:30 Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock

Information

Ziele, Inhalte und Methode der Lehrveranstaltung

The course Asset Pricing I is the first part of a sequence on asset pricing. Asset Pricing I analyses the determinants of asset prices in a complete market setting under symmetric information. Asset Pricing II extends the analysis to the empirically more relevant incomplete market setting with asymmetric information and liquidity risk.

Asset Pricing I provides a unified framework of classical asset pricing theories, according to which individual securities are priced in general market equilibrium taking into account all feedback effects (from other securities). Hence, it provides the foundations of the concept of the market price of risk as well as an understanding of the limits of the equilibrium concept as a basis of understanding financial crises, developed in more detail in Asset Pricing II.

The role of informational asymmetries on market participation, liquidity and, hence, asset prices will be the topic of the advanced course Asset Prices II.

While the course is mainly theoretical, all its motivation as well as the validation of the theories developed in this course is empirical and data-driven.

Art der Leistungskontrolle und erlaubte Hilfsmittel

Written (final, homework, quizzes) and oral (presentations, active participation).
The final will carry 35 points.
Homework will carry up to 40 points in total provided the results can be presented in a coherent way.
Active participation and quizzes will carry another 25 points in total.

Mindestanforderungen und Beurteilungsmaßstab

This course builds on Asset Pricing 1.

In order to pass the course at least 20 points are required in the final and 50 points overall.

Prüfungsstoff

Presentations of the lecturer including presentation slides, student presentations, reading list

Literatur

Textbooks:

• Brunnermeier, M.: Asset Pricing under Asymmetric Information, Oxford University Press 2001.
• Duffie, D.: Dynamic Asset Pricing Theory, 3rd edition, Princeton University Press, 2003.
• Hens, T. and M.O. Rieger: Financial Economics, Springer, 2010.
• Skiadas, C.: Asset Pricing Theory, Oxford University Press, 2009.

Further literature will be made available on Moodle.

Zuordnung im Vorlesungsverzeichnis

VM2 Wahl, B.1.b.i, B.1.b.ii, B.2.a

Letzte Änderung: Sa 28.02.2026 12:25