Asset Pricing


The course explores the nature and role of financial markets and institutions in the allocation of resources. The course pays particular attention to the emergence of derivative markets, analyzing the conceptual bases of the new instruments, including their pricing and trading strategies, as well as how financial entities use them in risk management.

Also we include recent topics of interest as the use of Machine Learning to study volatility measures and to identify asset pricing factors, the analysis of CoCo bond markets and the Crypto currencies markets.

Course Outline

Financial market structure; Derivatives and their pricing; Risk management. Hybrid Instuments and Cryptocurrencies


Readings and Class Participation (15%)

Three Homeworks (1rst(10%), 2nd (15%) and 3rd(20%))

Term paper (40%)


Reading and Videos List:

- Moreira

- ML


Assignment 1 :  
Assignment 2:                                       
Assignment 3 : 



-Options, Futures and Other Derivatives, John Hull, Pretince Hall (2017), 10th edt.

-Financial Economics: A Concise Introduction to Classical and Behavioral Finance. T. Hens and M. Rieger. Springer-Verlag, 2010.



-Asset Pricing,  J. Cochrane.  Princeton University Press, 2005.

-The Handbook of Hybrid Securities: Convertible Bonds, CoCo Bonds and Bail-In. Jan De SpiegeleerWim SchoutensCynthia Van Hulle. Wiley-Finance. 2014

-Finance and the Good Society. Robert Shiller. Princeton Press. 2013.
-Virtual Currency Schemes. European Central Bank (ECB), 2012.  

-Bitcoin's Return Behavior:  What do we know so far?,  J. Fajardo. 2019 SSRN WP

-Bitcoin Option Pricing with Jumps.  J. Fajardo. 2019 WP